You have different ways to get the Library:

Standard Package
The Library is mainly provided as .zip package which is platform-independent. It contains all the required files, as well as various examples (which must be compiled), illustrating the use of the library functions and classes.
Sources Repository
You may be also more adventurous and try the current development version with git. This ensures you will get the latest code available, and will ease the updates as well. To do this, just type the command : in your favorite console. Nevertheless, you have to know that some code in the source repository is under development and may be experimental, so always test the latest stable archive before complaining !