Dynamic linking - Linux Vs. Windows

The MSVC linker can link together object files (.obj) and object libraries (.lib) to produce an .EXE or a .DLL.

To link with a DLL, the process in MSVC is to use a so-called import library (.LIB) that acts as a glue between the C function names and the DLL's export table (in a DLL a function can be exported by name or by ordinal - the latter was often used for undocumented APIs).

However, in most cases the DLL export table has all the function names and thus the import library (.LIB) contains largely redundant information ("import function ABC -> exported function ABC", etc).
It is even possible to generate a .LIB from an existing .DLL.

Linkers on other platforms don't have this "feature" and can link with dynamic libraries directly.

On Linux, the linker (not the dynamic linker) searches through the shared libraries specified at link time and creates references to them inside the executable. When the dynamic linker loads these executables it loads the shared libraries they require into memory and resolves the symbols, which allows the binaries to be run.

MySo.a, if created, would actually include the symbols to be linked directly into the binary instead of the "symbol lookup tables" used on Windows.

rustyx's answer explains the process on Windows more thoroughly than I can; it's been a long time since I've used Windows.

The difference you are seeing is more of an implementation detail - under the hood both Linux and Windows work similarly - you code calls a stub function which is statically linked in your executable and this stub then loads DLL/shlib if necessary (in case of delayed loading, otherwise library is loaded when program starts) and (on first call) resolves symbol via GetProcAddress/dlsym.

The only difference is that on Linux the these stub functions (which are called PLT stubs) are generated dynamically when you link your app with dynamic library (library contains enough information to generate them), whereas on Windows they are instead generated when DLL itself is created, in a separate .lib file.

The two approaches are so similar that it's actually possible to mimic Windows import libraries on Linux (see Implib.so project).