For general troubleshooting in cases like this, i would recommend finding where on the system the file got installed (if your build.sh actually installed the file). You would be able to find the missing header file using
find / -path '*/cds/init.h' 2>/dev/null
Then you need to supply two parameters to g++:
First one gets the compiler to know about the include files from the install directory
-I path_to_folder_one_step_above_cds_folder
Second one gets the linker to know about the librarys location. If the library file is called libcds.so, you can find it by running
find / -name libcds.so 2>/dev/null
So for linking, you supply the flag
-L path_to_folder_one_step_above_libcds.so
In your case you might not need the -L flag, since most of your library supposedly is header only.
UPDATE: the build.sh script is printing out important information at the top, starting with "Building with the following options:". The important bits will be "Compile options:" and "Link options:". Those should be enough to solve your specific option.
UPDATE2: build.sh also exports some flags which might include more options. You can print them out directly after running build.sh by running
echo LDFLAGS=$LDFLAGS
echo CFLAGS=$CFLAGS
echo CXXFLAGS=$CXXFLAGS
you are likely to need to pass all these options to g++ when compiling and linking against that library. LDFLAGS are specific to the linker only. Both the other ones are needed for compiling c++ files.