You need to download zlib,
www.zlib.org and put the includes into your include path.. You also need to add zlib.lib to your lib path, and put mysql/include path.
Its not really that hard, if you've used a compiler before, it really shouldnt be that big of an issue.
Thats not to say you won't have other issues with Borland though..
If you don't know C++, then why praytell are you trying to compile it?