link lib.

I'm unsing timeBeginPeriod(1) with this:

#include <windows.h>
#include <mmsystem.h>
#pragma comment(lib, "winmm.lib")

compiler says:
warning: ignoring pragma comment
... undefined reference to timeBeginPeriod@4
... undefined reference to timeEndPeriod@4

how else could I link a library? is this the correct way?
is there a need to have a project? (because everybody tells something
about changings to the linker... which I don't know. I do not use
something like a project I think)
do I have to do changings in the project-file?