Hi Rom,
yep, this is always a pain, both on Win and Mac (although I'm basically on Mac, too, so for me it's double-pain when compiling on Win due to my lack of Win-skills). But with proper compiler configuration, you can do it (I just don't remember, how, but wanted to encourage you to find the right way). Probably you should google it up.
Another alternative (which is what I do in most cases) would be -- if you have the source code of the library -- to simply copy the original source code files into your project and compile your external that way. Of course, you'll need to make some additional config stuff in most cases, but still, for me this method proved easier than anything else.
HTH,
Ádám