It looks in its own includes folder. You can also pass additional directories to search in to the command line with the -I flag. It is up to you to decide whether to install the library to your MinGW installation or just reference it on the command line every time.
There is a good amount of debate on how to do this kind of thing on Windows, but it is my personal opinion that you should just stick library code in your MinGW's natural paths.
For example, put all the boost libraries in your MinGW's include directory: for example:
C:\MinGW\...\include\boost
Then you can properly 'just compile' programs that #include <boost/something.hpp> .
Your application code should be in either the development directory or a subdirectory thereof, and use double quotes. For example:
C:\Users\yj\Documents\Programming\myprog\myheaders\foo.hpp
And ~myprog\main.cpp can #include "myheaders/foo.hpp" .
The one thing you must be careful about is the difference between 32-bit and 64-bit libraries.
For more exacting help:
- what distribution and version of MinGW are you using?
- and what is the library you downloaded?