libtheora has libogg as a dependency, and for examples, also 
libvorbis, therefore you need to have libogg and libvorbis
compiled beforehand.

Lets say you have libogg, libvorbis and libtheora in the same directory:

libogg-1.1.4 
libvorbis-1.2.2
libtheora-1.0

Because there is no automatic library detection you have to,
either:

1. Rename libogg-1.1.4 to libogg, and libvorbis-1.2.2 to libvorbis.

2. Open libogg.vsprops with a text editor (even notepad.exe
will suffice) and see if LIBOGG_VERSION is set to the correct
version, in this case "1.1.4".

The same procedure should be done for libvorbis.vsprops and 
check LIBVORBIS_VERSION for the correct version, in this 
case "1.2.2".