Noob compile questions

[Vish]

All:

I have a third party SDK that I need to use to build my application.
Now I want to use g++ in cygwin environment to compile this
application. How can I have g++ see this new SDK/API? How can I
"include" the lib and bin of this third party sdk in my application and
have g++ compile it?

THe g++ was not of much help to me...

THanks in advance

--Vish