It is almost certainly simpler and safer to use a well tested external library (assuming you can find one....tried Google yet?) than to code a non-trivial filter yourself.
But, since you haven't said anything about you application, the format of you data, etc, there is little more that we can tell you.
I don't know anything about how your IDE (CodeBlocks) works, but importing usual takes one of three forms depending on how the library is made available to you (details to follow):
- You obtain source code for one or more functions (hopefully with good documentation): Read the docs, copy the code into the appropriate directory, add the files to the project, attempt to compile, fix missing preprocessor symbols, etc...
- You obtain a plain binary library and headers for you platform (possibly from you OS package management system): Read the docs, tell the IDE where to find the headers and the library, attempt to link, fix problems...
- You obtain a framework that provides the functionality: This is a bit more trouble, but it also starts with read the docs, then probably proceeds a lot like the library case, but with more code to be written...
In any case you will at some point be doing
#include "library.h"
in some of your source files to make the external functionality visible to your code.
Probably you want to find a candidate library first, to see what form it is provided in, then read more about your IDE to see where you go from there.
Another SO question that might be relevant to your needs: Analog circuit simulation library?.
It's been a long time since I used matlab, but if that is your base programming experience, you should be aware that there are a lot of facility that matlab provided to you that are not in plain vanilla c. You almost certainly want to use some framework or another to give you some of that support back.