you need to install libgmp3-dev
depends on your linux
yum install libgmp3-devapt-get install libgmp3-dev
On OS X (if you're using Homebrew), do this:
brew install gmp
In Centos 6.5 it is sudo yum install gmp gmp-devel gmp-status.
sudo yum install gmp gmp-devel gmp-status
ProTip: Just search for the gmp in yum and also check out yum provides command.