You need to install the yaml-cpp library.
Under Ubuntu 14.04 you can do this by simply running one of the following commands in a terminal window (depending one the API you use):
sudo apt-get install libyaml-cpp-dev
or
sudo apt-get install libyaml-cpp0.3-dev
See the yaml-cpp project page for other operating systems and differences between old (0.3) and new API.