Point of including lwip sourses to project instead of include lib from mss is to configure some custom settings without modifing make and lib files.
For building a project, you have to use the GNU Make tool. If you're a Windows user please checkout this page, to see how you can install this tool.
To build a project just cd to the project and run make:
[~]cd projects/lan/kcu_105
[~]make
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After building the project, run Vivado -> open project -> Launch SDK (exported location - /sw_src; workspace - /sw_src)
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In SDK file/new/project -> specify name, next -> empty application -> finish
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Аdd sw_src/src files to your project.