Linear Solvers for sparse systems

  c++, mumps, nlopt, optimization, pardiso

I wanted to ask you about linear solvers
I have looked on the internet and saw that If for example I want to use Ipopt I can(and in my case) have to use linear solvers like Mumps, Pardiso etc
However, I opted to use NLopt. Does NLopt also require to install such solvers or it has already integrated? I am confused because it states : Support for large-scale optimization (some algorithms scalable to millions of parameters and thousands of constraints).
If I need to use for example mumps, I just downloaded in a separate folder and then link it during compilation?

Source: Windows Questions C++