In the location of your MinGW install, there are likely folders called
bin. You'll want
include\GL\glew.h. If they're not under MinGW they're likely somewhere under your Cygwin install.
However, there's a trick here. Since you say you have a
.lib file, I'm going to assume you downloaded the precompiled Windows binaries. You can't do this, those are for Visual C and use with Visual Studio. You're, unfortunately, going to have to build it from source. It's a bit finicky, but there should be resources to help you build to a MinGW target.
After you finish building it, you should get the files
libglew32.dll.a. These correspond to the
.dll and the
.lib you mentioned, respectively. You'll want
glew32.dll in either
C:\Windows\System32 (though technically anywhere in your Path should work, those are the more "standard" locations). You'll want the
.a file in the