How to install external C++ libraries into OPAL-RT through an S-function?

I am working with OPAL-RT with Matlab R2011a. I am implementing a Microgrid controller using an S-function with C++ langage. I am wondering how to install an C++ external library into the OPAL-RT compile. I would like to use Eigen and CPLEX library into a C++ S-function. However, the compiler do not find the libraries when I call them through the command:

#include "Eigen/Core"

#include <ilcplex/ilocplex.h>

Thank you very much.