What are you trying to do:
1. use a dynamic linkable library (dll) in your project?
2. use a static library in your (.a or .lib) project.
3. create a dynamic linkable library (dll) yourself?
4. create a static library yourself?
5. build a library from source files that you downloaded somewhere (e.g. github)
Note: a static library becomes an integrated part of the program than uses the library. A dynamic linkable library remains a separate file, but must be installed on the same system as where the program that uses it is running.