How to use third-party C++ library

We’re using WPILib 2019 and C++, and we can’t figure out how to use a C++ library. Even if this is an XY Problem, it is still valuable information that can be used in the future for installing 3rd party libraries. Because it isn’t a vendor library, we can’t figure out how to properly include it. We tried adding it to includePath in c_cpp_properties.json, but that didn’t work. We were able to include it by copying it into our include files for robot code (for testing), but it wasn’t able to link. We also tried installing the library in mingw-w64, but that also didn’t work. Is there any way to install a non-vendor third party library properly?

See this thread: Cannot open source file "pthread.h" (starting with post 9 or so)

Thank you so much!