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IBM made it specially for Visual Studio, and I couldn't be able to port it to anywhere (and it doesn't seem to be possible); it seems to be easy to setup it on VS, but I didn't try it. But you can run it with WSL (Windows Subsystem for Linux) and configure include folder on any IDE, so you will get some lints; and that's what I did.
Linux:
Make sure to have JDK 8 installed (If it still doesn't work, add it to the PATH).
sudo apt install openjdk-8-jdk
With the .bin (I will call it cplex.bin) downloaded, do:
chmod +x cplex.bin
./cplex.bin
Follow the installer. You can install it in any folder you want, just remember the path of it, we will need it to adjust the Makefile.
Use the Makefile to compile:
It receives: "path=<path to the name of your file (without .cpp)>" as argument, so you don't need to edit everytime neither copy it to the folder you're working on.
Example: make TransportProblem/transportProblem
If there's no compilation error: it will generate a yourFile.run
Run it using: ./yourFile.run
Lint/Autocomplete:
In order to use lint/autocomplete in any IDE, you need to provide the "include" folder of the library you will use. But, for some reason, CPLEX include had a small bug that broke VisualCode's lint (and probably any other IDE). I fixed and it's here. Just copy and paste it into the "include" folder of your compiler.