I'm afraid you can't use glew.lib with g++ (because .lib is a proprietary Microsoft format). These errors you get are missing function entry points, meaning that you didn't compile GLEW correctly (the required functions are not exported in your .so - need to know more details in order to be able to solve this issue).
As for the other part of the question, you can try GLEH. It is still in the development phase and may need some tweaking to work for you, but we've been using it quite successfuly in linux so it shouldn't be too bad.
