How to do that all depends on the compiler and/or IDE you are using. Basically, a library is nothing more than a collection of compiled functions that are in a file with *.lib or *.a file name. *nix computers also have something called shared libraries, which has a *.so file name.
WaltP has challenged me on this, with his reputation comment.
I stand by my original line. I can take a C source file, compile it into an object, and I'm done - that object file is then a library. A standard *.a file is no more than a bunch of these object files stuck together; a single object file is perfectly usable as a library.
So there is some interpretation there. Sure, an object file can be compiled into an executable but it cant be 'linked' to in the traditional sense without converting it to a .a archive. (I'm talking purely Linux here as I am less familiar with how Windows handles this)
So an object file isn't technically a library even though it can be compiled into an executable in certain contexts.