The OpenGL library is split in two parts:
- the runtime, provided by the graphics driver
- the development files (headers and import libraries), provided by the OS
The problem is that the latter are never updated; on Windows for example, OpenGL headers & libs are still in version 1.4. So even if your graphics card supports 1.5 or 2.0 functions, they are not directly available through the headers and libs. That's why you have to load them manually.
The best way to do this is to use a library such as GLEW or GLEE: they load everything automatically so that you have almost nothing to worry about. Be careful though, functions and constants names may be different, since they are loaded as extensions instead of being part of the core library. For example, glGenBuffers becomes glGenBuffersARB.