An unable to open header file error means either that the header is not on your hard disk or that even though it is on your hard disk the compiler can't find it.
In the first case you need to find out where it comes from and install it or if the header is not suitable for your platform change the code so it doesn't use it.
In the second case you need to alter the compilers include paths so it can find it. There are many ways to do this but commonly either change the INCLUDES environment variable or add the path to the compiler command line using a -L switch.
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