Originally Posted by GNU GSL Manual
2.2 Compiling and Linking
The library header files are installed in their own gsl directory. You should write any preprocessor include statements with a gsl/ directory prefix thus,
#include <gsl/gsl_math.h>
If the directory is not installed on the standard search path of your compiler you will also need to provide its location to the preprocessor as a command line flag. The default location of the gsl directory is /usr/local/include/gsl. A typical compilation command for a source file example.c with the GNU C compiler gcc is,
$ gcc -Wall -I/usr/local/include -c example.c