That's a perl include.
Mine is in /usr/lib/perl/5.10.1/CORE/EXTERN.h
Try:
sudo updatedb
locate EXTERN.h
If it's not there, sudo apt-get install libperl-dev.
If it is there, consider the following lines from zone/makefile
PERL_FLAGS=$(shell perl -MExtUtils::Embed -e ccopts)
PERL_LIB=$(shell perl -MExtUtils::Embed -e ldopts)
Run those perl commands and see what you get.
I can post mine but they are for a 64 bit platform and may not apply.
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