This will be entirely dependent on your build methods, whether that's using an IDE like Visual Studio, Eclipse, etc, or if you're using shell scripts and command lines in *nix.
You will need to make sure that that file (mysql.h) exists in your 'includes' path.
For example, in Visual Studio, you would go into:
Project Properties -> Configuration Properties -> C/C++ -> General -> Additional Include Directories
And include the directory to which you have 'mysql.h' saved.
Then, for your linker properties, repeat the steps and include the respective DLL/LIB file path in your Additional Library Directories
This will differ greatly depending on your environment, so more information would be needed for exact step-by-steps. But this should explain the actual Problem.