In order to include the library in your own Cinema 4D plugin project there is not much you need to do.

1. Set the 'api_effex' folder path in your project's "include path" settings
That way your VS/XCode project can see the library files and you can #include them in your project code.

That's it for the coding environment! Easy enough.
Now the next step is just as easy:

2. Before you use the library in any way you must call InitEffex() once
The InitEffex(); call will initialise the library for being used. You can call it for example before you register any plugins with the usual RegisterPlugin() calls.

See the Plugins chapters for details.