The "Compiled" folder contains the lnk unit compiled for Cobra (graphics engine independent). You should put these files:
lnk.clm
lnk.o
into your Cobra\bin\libs\ folder, usually located at:
[DRIVE]:\Program Files\SqueakyDuck\Cobra\bin\libs\
You can optionally also copy the following file:
lnk.ver
into your Cobra\bin\ folder, usually located at:
[DRIVE]:\Program Files\SqueakyDuck\Cobra\bin\
The following barebones program shows how to include the unit: