No, there's no package manager for C++ libraries. There are various ways to install C++ libraries, as with any other software: through your operating system's package manager, by building from a source tarball, or, in the case of proprietary software, by running some installation program.
Note that if #include doesn't work, then your compiler or development environment is simply not installed correctly. I believe Super User is the site where you can ask for help with that sort of thing.
