You probably don't included the path to mysql headers, which can be found at /usr/include/mysql, on several unix systems I think. See this post, it may be helpfull.
By the way, related with the question of that guy above, about syntastic configuration. One can add the following to your ~/.vimrc:
let b:syntastic_c_cflags = '-I/usr/include/mysql'
and you can always check the wiki page of the developers on github. Enjoy!