How to get or avoid glaux.h

glAux is useful extras, quick way of loading a bitmap into a texture, a few fonts, a 3d teapot etc.
You probably don't want them in production systems but they are good for learning opengl without having to worry too much about the os.

Did you search the compiler include directories for it?  It might be there but not in the root of an include directory.  For example, the Windows Platform SDK includes glaux.h under the gl subdirectory so #include <glaux.h> won't work but #include <gl/glaux.h> will.