Always good to include more details with issues like this:
eg:
operating system
compiler / IDE
OF version
Looks like your issue is a linking one. ie: the compiler doesn’t see the FBX library.
If you are on Visual Studio / Windows did you see the note in the ReadMe ?
Windows Visual Studio 2017 Notes
To compile in Debug mode, unzip the lib in ofxFBX/libs/fbxsdk_2016.1/lib/vs/x64/Debug
Also if you are using 0.11.2 on Win/Visual Studio you need to clean between switching between debug and release. This is fixed in the nightly builds ( bottom of the download page ).
There are also some notes about Linux too in the ReadMe.
If you have any more info it will help narrow down the issue.