GLaux Problem

It compiles fine- but the linker cannot find the glaux library which contains auxDIBImageLoadA's definition.
i think you're using VC, try (or just add glaux.lib to the project settings):
#pragma comment(lib,"glaux.lib")
i think this should be the glaux library. i hope you know why glaux is not recommented (see the opengl faq. i think i heard it has memory leaks, and it is very old. GLUT is the library that suppose to replace it, but i dont think there are image loaders in GLUT).
for loading/saving images without the aux library, there are tutorials and libraries to help (and windows' IPicture. nehe has a tutorial on using it with opengl).

yes, the aux library is indeed, old, outdated and leaks memory.

As well as the IPicture code you can use;
- DevIL (C-style and does alot of work for you)
- Corona (C++ library, just loads things but does mean you get more control over what happens to your data)
- FreeImage (C-style iirc, again just loads things)

ImageMagick - Loads, saves and manipulates images. Both C and C++ style.