I have a static library *.lib created using MSVC on windows. The size of library is say 70KB. Then I have an application which links this library. But now the size of the final
A static library on both Windows and Unix is a collection of .obj/.o files. The linker looks at each of these object files and determines if it is needed for the program to link. If it isn't needed, then the object file won't get included in the final executable. This can lead to executables that are smaller then the library.
EDIT: As MSalters points out, on Windows the VC++ compiler now supports generating object files that enable function-level linking, e.g., see here. In fact, edit-and-continue requires this, since the edit-and-continue needs to be able to replace the smallest possible part of the executable.