I would like to use COIN-OR as a shared library for my own project, do you have any link to create COIN-OR as a shared library and include it in my project including CMakeList demo?
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COIN-OR comprises several projects. Which one in particular would you like to use? See https://projects.coin-or.org/CoinBinary for a comprehensive list.
Regarding clp in particular, all binaries may be found here: https://www.coin-or.org/download/source/Clp/.
The clp webpage has more information, in particular, you can find details on building and installing.