understanding linking and compiling

I believe i have an OK knowledge of basic c++ and OOP concepts. However i get completely confused in the linking process.

For example, the process in installing SFML and SDL seemed to take forever. In linux its quite easy as i just copy everything to /usr/lib and /usr/include and everything seems to work. However i have been unsuccessful in installing SDL_image for SDL2 in linux. (the SDL book only describes the windows process). However in windows setting up the same seems to be horrific. I have yet been able to compile SFML or SDL in windows.

I think the problem tends to be i like to use different IDE's depending on my mood. Sometimes i like using a GUI IDE and use Geany, and sometimes i just like using vim (in windwos cygwin vim). In linux it seems easy as all i have to remember is the g++ command and i can switch between using vim and compile it via terminal, or put in the g++ command into Geany if i feel like using that.

However most tutorials expect that you use windows visual studio or code::blocks. If i had to choose between the two it would be code blocks because i could get familiar with it in linux as well. For example, the SDL book describes the process of installing SDL_Image for SDL2 only in visual studio. Which leaves me back at square one.

All in all, this whole process has left me understanding that i really have no idea what the hell i am doing. I would assume if i did, i could just convert a tutorial from one IDE to another without hassle. So my question is: How can I learn the process of linking statically and dynamically for both linux and windows. IS there a book that covers the general idea regardless of OS? Or a SDL_image tutorial for SDL2 under linux?

If i was using SDL1.2 i could just easily install via repos, however i am using SDL2.
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