How to use extensions (of OpenGL > 1.1)

I read that to use OpenGL > 1.1, I need to have right SDK and use extensions.
Could you tell me, what I should do to use them?
I am asking about linking libraries/header files to project. Which of them I have to link?

For the most part no SDK is really required for using opengl extensions. All that is really needed is the updated header from sgi. Though if you want a personal made library, you can use glee.

Glee Page
SGI Header