Download the Lib UDF's source code and compile the UDF as a shared object or download it in binary formats;
Under Linux put the the share object (lib*.so) somewhere where MySQL can find it ( generally /usr/lib);.
Run mysqld/client and register the UDF's functions and input data types in lib*_install.sql;
To test UDF lib you can load data in lib*_test.sql : mysql>source /path/to/udf/lib*_test.sql
If you want to get rid of a UDF you have registered, simply use lib*_uninstall.sql;
Under Windows :
Download the Lib UDF's source code and compile the UDF as a shared object or download it in binary formats;
Under Win32 put the UDF (lib*.dll) somewhere where MySQL can find it (C:\mysql\bin) and and rename lib*.dll to lib*.so, or replace all libbigint.so occurence by libbigint.dll :d
Run mysqld/client and register the UDF's functions and input data types in lib*_install.sql;
To test UDF lib you can load data in lib*_test.sql : mysql>source c:\path\to\udf\lib*_test.sql
If you want to get rid of a UDF you have registered, simply use lib*_uninstall.sql;