If you're using Cygwin, you'll need to download it via the client and have it installed. It's a library package.
If you're on a server you control, again, something you need to download and install.
If you're on a server you don't control, tell your server admin the need for the library needed. It's a quick thing to download/install. If they already have it and you're still receiving the error, it's a permissions issue and they need to give you access to the associated folders so that you can use it.
Not much more can be said, really.