You have to put the -lmosquitto
at the end (after the source files).
gcc mosquito.c -lmosquitto -o mosquito
# or
gcc mosquito.c -o mosquito -lmosquitto
# or
gcc -o mosquito mosquito.c -lmosquitto
Or better:
gcc -Wall -Wextra -pedantic -o mosquito mosquito.c -lmosquitto