MinGWでコンパイルしてみると、
C:\Users\softt\Desktop\Mingwstudy\7_3_0_x86_64_w64_win32_seh_rt_v5_rev0\start>g++ s.cpp -mwindows -lgcc -lDxLib -lDxUseCLib -lDxDrawFunc -ljpeg -lpng -lzlib -ltiff -ltheora_static -lvorbis_static -lvorbisfile_static -logg_static-lbulletdynamics -lbulletcollision -lbulletmath -lopusfile -lopus -lsilk_common -lcelt -o s
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lDxLib
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lDxUseCLib
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lDxDrawFunc
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -ljpeg
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lpng
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lzlib
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -ltiff
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -ltheora_static
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lvorbis_static
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lvorbisfile_static
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -logg_static-lbulletdynamics
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lbulletcollision
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lbulletmath
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lopusfile
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lopus
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lsilk_common
C:/Program Files/mingw-w64/x86_64-7.3.0-posix-seh-rt_v5-rev0/mingw64/bin/../lib/gcc/x86_64-w64-mingw32/7.3.0/../../../../x86_64-w64-mingw32/bin/ld.exe: cannot find -lcelt
collect2.exe: error: ld returned 1 exit status
と出ます。
どうやらヘッダファイルの方はちゃんと見つけているみたいですが、ライブラリの方が全部見つけられてないみたいです。
そもそも、ヘッダファイルとライブラリを配置する場所がイマイチ理解できてないので、教えてもらえないでしょうか?