It doesnt matter where you put the wsock32.lib file. Just link it properly with the /link switch of your compiler. From the looks of it, you seem to be using the Visual C++ compiler. I thought the wsock32.lib file came with it by default and you wouldn't have to download it.
Anyway, if you are using the Visual Studio IDE, you can select "Add files to project" and select the wsock32.lib and build. Should work.
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since Jun 2005