If mysql is installed on the machine, the mysql_config program is not in your path. The Makefile.PL script uses that program to determine how to configure the Perl XS module to link with the mysql client library.

[snip]
 
 > cflags        (guessed) = -I/usr/local/mysql/include
 >   libs          (guessed) = -L/usr/local/mysql/lib -lmysqlclient -l
+z -lgz
 
Without the mysql_config program the guess is that you need libgz.  
 
 >   nocatchstderr (default) = 0
 >   nofoundrows   (default) = 0
 >   ssl           (guessed) = 0
 >   testdb        (default) = test
 >   testhost      (default) = 
 >   testpassword  (default) = 
 >   testuser      (default) = 
 > 
 > To change these settings, see 'perl Makefile.PL --help' and
 > 'perldoc INSTALL'.
 > 
 > Note (probably harmless): No library found for -lgz
 
If you do need to link with libgz, it cannot be found.  This may or
may not be a problem.  
 
I would set the path to find mysql_config and try again.
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