In your source files, you should include my_global.h before mysql.h:

#include <my_global.h>
#include <mysql.h>

my_global.h includes any other files needed for Windows compatibility (such as windows.h) if you compile your program on Windows.

You can either link your code with the dynamic libmysql.lib library, which is just a wrapper to load in libmysql.dll on demand, or link with the static mysqlclient.lib library.

The MySQL client libraries are compiled as threaded libraries, so you should also compile your code to be multi-threaded.