I solved the problem on Ubuntu 14.04 by using this command
sudo apt-get install libcurl4-openssl-dev
Future users can search for the latest libcurl using:apt-cache search libcurl
apt-cache search libcurl
The actual problem is:
File curl.h not found.
R suggests a solution:
Make sure the curl development library is installed, e.g. libcurl4-openssl-dev (deb) or libcurl-devel (rpm)
So, try:
sudo yum -y install libcurl-devel