How can I use the Embedded version?
For Firebird 3.0:
You can download the "Zip kit for manual/custom installs" and extract all files to you program directory.
(note: download the correct bitness 32/64bit the same as your Lazarus version)
It will use the fbclient.dll directly and see it needs to be the embedded version.
I haven't found a way to copy the files to a subdirectory because they removed the RootDirectory option.
For Firebird 2.5:
You can download the "Embedded, separate download, zip kit." and extract it to your program directory.
Please note that for testing purposes the server version is easier. You can distribute your working program with embeded later without change (if you keep the connect-string configurable).
Which components can be used, the IBX are fine?
The standard SQLdb from Lazarus, IBX and ZeosLib all should work fine.