It seems mysql_config is missing on your system or the installer could not find it.
Be sure mysql_config is really installed.
For example on Debian/Ubuntu you must install the package:
sudo apt-get install libmysqlclient-dev
Maybe the mysql_config is not in your path, it will be the case when you compile by yourself
the mysql suite.
Update: For recent versions of debian/ubuntu (as of 2018) it is
sudo apt install default-libmysqlclient-dev