From BlenderWiki

[edit] Unable to find a header (.h)

This problem normally happens when you do not have the development headers installed for a given package, and or blender thinks the headers are in a different location than they currently are.

[edit] Unable to find shared library when linking (.so, .dll)

If you have gotten to this point, you more than likely already have the library installed. So this problem is generally one of three things:

• Blender is looking for the library in the wrong place.
• Your using a prebuilt library that has extra requirements that blender doesn't know about.
• You have a static library installed and blender is looking for a dynamic library.

[edit] Unable to find static library when linking (.a)

This means one of 2 things.

• Blender is looking for the library in the wrong location.
• You do not have a static library installed for this library.