implementing a library in C

so I'm running MinGW on Windows, and I want to mess around Xiph.Org's libao - a cross-platform audio output library

I'm very inexperienced, and my question is how do I actually make use of it? You can download it here http://xiph.org/downloads/ (it's small)

I see an install-sh file but I can't actually make use of that on Windows, can I?

I can put the header files, which are under include/ into C:\MinGW\Include, right? (but that doesn't even seem right because then how would I remove libraries I added later if I wanted to? it's not separated) but then where do I put the actual source files?

>>12
GCC (MinGW) on Windows Vista

I'd really just be happy if someone could hold my hand through getting this to work and then I could probably figure it out