Okay you need to find the FOX installation on your system. My gues is that FOX_PREFIX is "/usr" but it could also be "/usr/local" you need to literally *replace* the $FOX_PREFIX with that value. Try:
g++ -I/usr/include/fox -o mywindow mywindow.cpp main.cpp -L/usr/lib -L/usr/X11R6/lib -lFOX -lX11 -lXext -lm "
If that doesn't work try:
g++ -I/usr/local/include/fox -o mywindow mywindow.cpp main.cpp -L/usr/local/lib -L/usr/X11R6/lib -lFOX -lX11 -lXext -lm "
If you still got problems the try to find where the install put the FOX library. Maybe try this:
find /usr -name "libFOX*"
The output of that should give you a nclue as to what the --prefix was...
Hope this helps.