TDLib should be prebuilt and installed to local subdirectory td/:
cd <path to TDLib sources>
mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=Release -DCMAKE_INSTALL_PREFIX:PATH=../example/cpp/td ..
cmake --build . --target install
Also, see building for additional details on TDLib building.
After this you can build the examples:
cd <path to TDLib sources>/example/cpp
mkdir build
cd build
cmake -DCMAKE_BUILD_TYPE=Release -DTd_DIR=<full path to TDLib sources>/example/cpp/td/lib/cmake/Td ..
cmake --build .
Documentation for all available classes and methods can be found at https://core.telegram.org/tdlib/docs.
To run the examples you may need to manually copy needed shared libraries from td/bin to a directory containing built binaries.