glxx is a dynamic/shared library.
The easiest way to build glxx is using Qt Creator. Download the sources, then open glxx.pro file and hit build. On Windows you will end up with glxx0.dll, glxx0.lib (for release) and glxxd0.dll, glxxd0.lib (for debug). On Linux you will end up with libglxx.so (release) and libglxxd.so (debug).
Add to your include path the 'glxx/include' directory.
Link to glxx0.lib or glxx0d.lib on windows, link with -lglxx or -lglxxd on linux.
Using Qt Creator
Build the library, and add 'include(glxx.pri)' to your project.pro file.