It is common for header-only libraries: you need to include this header in one c++ using the macro for linking (don't use that macro in other c++ files to avoid duplicate symbols). In C++, you can declare a function as many times as you want, but you can only define it (write the actual body) once in the entire project.
I understand that part, but I don't see why do this instead of basic Makefile or CMake setup. It seems like more work than a regular linker at that point. For what purpose?