When you download OGRE, all the libraries, classes, and functions needed to use the OGRE engine will be downloaded. There is an OGRE package for Visual Studio and one for Code::Blocks.
In addition to the prebuilt packages, there is a source distribution of OGRE for those who wish to edit and compile the engine themselves. Those who download the source distribution will need to also download the third-party library dependencies, which includes a number of additional libraries that OGRE uses (these can be found on the website). Users will also need to download the DirectX SDK from the Microsoft site (http://www.microsoft.com/windows/directx/).
There is a tutorial for downloading and installing OGRE, among other tutorials on the wiki, at http://www.ogre3d.org/wiki/index.php/Installing_An_SDK.