It means that when you use a third party library for your projects, like zLib, Ogre or sqlite for example, your should put the Header files of the library in the include folder and the lib files to the lib folder.
In general it's a bad idea to put all libs/includes into MinGW's lib/include folder. One day you will most certainly overwrite an important header file and you are lost in compiler errors. In addition updating to a new version of the lib/framework will be much harder.
It's much better to install the API (libs, frameworks you use additionally) into an own folder, keep the folder structure as it is after an installation / unpacking. Then setup your project accordingly. This means: Add the path to the additional header files to your project, add the path to the additional libraries to you project and finally add the library to link against itself.
Where? -> Right click on project -> build options -> tab "search directories -> sub-tab "compiler" for additional path's to header files for the compiler, -> sub-tab "linker" for additional path's to library files for the linker and finally tab "linker settings", box "link libraries" for additional libraries to link against.
With regards, Morten.