Here is the solution:
1. Right click your project, pick "Get Info"
2. Find "Header Search Paths" under "Search Paths" tab. Double click the field
3. Click the "+" button to add new folder, check Recursive, and enter the folder you've dragged to your project.
Thats all. Next time you download an open source file, just drag the "src" folder into your project, rename the folder so it won't conflict with other file, and do the same thing.
I just download BulletPhysics, drag the "src" folder to my project, rename it to bulletPhysic, do the steps above and it works. This is the screenshot after doing the steps above. Hope it helps ;)