ProWidgets SDK includes headers and two NIC templates. You are required to use theos and prepare the library file in order to compile successfully.
The two NIC templates are for developers to create a basic widget (like Hello World) for ProWidgets.
For headers, put the directory libprowidgets and the files inside to THEOS_PATH/include/.
For NIC templates, put the two *.nic.tar files to THEOS_PATH/templates/iphone/.
For library file, copy the ProWidgets library libprowidgets.dylib from /Library/ProWidgets/libprowidgets.dylib on your device to THEOS_PATH/lib/libprowidgets.dylib on your computer.
Read the documentation and headers to understand the concept about ProWidgets.
More practically, there are some sample widgets available on GitHub for developers to see how a widget is written.