Under UNIX (and under Microsoft Windows when using the GNU development tools) you will probably need to tell the compiler where to find the header files. This is usually done using the -I option:
CC -I/usr/local/include ... gcc -I/usr/local/include ...
Similarly, when linking your application you will need to tell the compiler to use the FLTK library:
CC ... -L/usr/local/lib -lfltk -lXext -lX11 -lm gcc ... -L/usr/local/lib -lfltk -lXext -lX11 -lm