One of the most common misconceptions about OpenGL is, that it were a library that could be installed from 3rd party sources. This misconception leads to many questions in the form "how to I install OpenGL" or "where to download the OpenGL SDK".
This is not how OpenGL finds the way into computer system. OpenGL by itself is merely a set of specifications on what commands an implementation must follow. So it's the implementation that matters. And for the time being, OpenGL implementations are part of the GPU drivers. This might change in the future, when new GPU programming interface allow to truly implement OpenGL as a library, but for now it's a programming API towards the graphics drivers.
When OpenGL got first released the API somehow found its way into the ABI (Application Binary Interface) contract of Windows, Solaris and Linux (LSB-4 Desktop) in addition to it's origin Sun Irix. Apple followed and in fact integrated OpenGL so deep into MacOS X, that the OpenGL version available is tightly coupled to the version of MacOS X installed. This has the notable effect, that system programming environments for these operating systems (i.e. the compiler and linker toolchain that natively targets these systems) must deliver also OpenGL API definitions. Such it is not necessary to actually install an SDK for OpenGL. It is technically possible to program OpenGL on these operating systems without the requirement to install a dedicated SDK, assuming that a build environment following the targeted ABI is installed.
A side effect of these strict ABI rules is, that the OpenGL version exposed through the binding interface is a lowest common denominator that programs running on the target platform may expect to be available. Hence modern OpenGL features are to be accessed through the extension mechanism, which is described in depth separately.
In Linux it is quite common to compartmentize the development packages for different aspects of the system, so that these can be updated individually. In most Linux distributions the development files for OpenGL are contained in a dedicated package, that is usually a dependency for a desktop application development meta-package. So installing the OpenGL development files for Linux is usually taken care of with the installation of the desktop development meta package/s.*
The API binding library
opengl32.dll (named so for both 32 bit and 64 bit versions of Windows) is shipped by default with every Windows version since Windows NT-4 and Windows 95B (both ca. 1997). However this DLL does not provide an actual OpenGL implementation (apart from a software fallback which sole purpose is to act as a safety net for programs if no other OpenGL implementation is installed). This DLL belongs to Windows and must not be altered or moved! Modern OpenGL versions are shipped as part of the so called Installable Client Driver (ICD) and accessed through the default
opengl32.dll that comes pre-installed with every version of Windows. It was decided internally by Microsoft, however, that graphics drivers installed through Windows Update would not install/update a OpenGL ICD. As such fresh installations of Windows with drivers installed automatically are lacking support for modern OpenGL features. To obtain an OpenGL ICD with modern features, graphics drivers must be downloaded directly from the GPU vendor's website and installed manually.
Regarding development no extra steps must be taken per-se. All C/C++ compilers following the Windows ABI specifications ship with headers and the linker stub (opengl32.lib) required to build and link executables that make use of OpenGL.