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should i first make .lib file?
It depends on how you installed libcurl
I didn't install it I just downloaded the .zip file from theirs site.
What does it contain ?
!http://i59.tinypic.com/s5yb9l.png()!
Then you need to build it
how can I build it and what must I include in a build?
You have the documentation inside the curl folder, follow it for your installed compiler
Do I have to make from that folder static library or dynamic library or something else?
That's up to you and how you would like to use it