Installing a C++ library means specifying to interested software (eg. a compiler) the location of two kinds of files: headers (typical extensions *.h or .hpp) and compiled objects (.dll or *.lib for instance).
The headers will contain the declarations exposed to the developer by the library authors, and your program will #include them in its source code, the dll will contain the compiled code which will be or linked together and used by your program, and they will be found by the linker (or loaded dynamically, but this is another step).
So you need to
1) put the header files in a location which your compiler is aware of (typically IDE allows to set so-called include directories, otherwise you specify a flag like "-I<path-to-headers>" when invoking the compiler)
2) put the dll files in a location which your linker is aware of (surely your IDE will allow that, otherwise you speficy a flag like "-L<path-to-libraries> -l<name-of-libraries>"
Last but not least, since I see that BASS library is a commercial product, probably they will have made available some installation instructions?