In linux, there is a standard way of installing libraries that all the software on your machine is supposed to use. In part this works because all that software is chosen in such a way that the same versions of libraries will satisfy everyone, that's what makes up a linux distribution to some extent.
In windows, the model of development is totally different. Any third party software, not from microsoft, is something the customer paid for and microsoft never signs off on it or anything. Third party stuff generally is supposed to provide its own libraries since you have no idea what other third party stuff is present. There's not much point in globally installing things since most programs won't use what you globally install anyways.
So, if you have a library on windows, you should install in whatever way the program that you intend to use it with will find it. If you are intending to install it for use with a project you are developing, that is a different question, and ultimately one about your build system or IDE.
In modern days there are things like NuGet which allow you to do things in a more linuxy way on windows. But that's quite recent and not that much software from typical user's perspective gets its dependencies that way.