You probably need to install the MySQL-Devel RPM package.
Sorry, Where do I get that? And can you explain what happened because I have installed mysql from the beginning i install linux but why i still get this error, Im newbie in environment so probably Ive missed something when install linux.
Search on Google for it, and make sure you get the right version. The regular MySQL package doesn't include header files.
Or wait, Red Hat Enterprise 5 includes yum, doesn't it? Try yum install mysql-devel (the package name here is a guess) as a superuser. Or use pirut. I think they're installed, but I'm relying on Wikipedia.