You’re following a NeHe tutorial for loading a bitmap?
glaux is an old old old old old library that has been deprecated for roundabout 15 years or so and no longer ships with any IDE or SDK. You shouldn’t use it in other words; there are plenty of other image libraries around that are more up to date. DevIL is one example and there is even a page describing how to use it with OpenGL here: http://openil.sourceforge.net/tuts/tut_10/index.htm; there are plenty of others.