I also scratched my head on the first time I was using it, but in the end it is very simple.
Just all you need to do is to include this lines on your texture ".CPP" file:
#define STB_IMAGE_IMPLEMENTATION
#include "stb_image.h"
It includes those functions on your source code and no other file or library is necessary, besides of course it uses the standard C runtime, needed for open file, memory allocation and etc.
Ps. I've only tested the image loader, but the other libs should be also simple to use, just take a look on the header file for example usage.