Trying to install on ubuntu

[niheibu]

When I trying to install on ubuntu 14.04 LTS I have an error:

ccc@ubuntu:/Desktop/mysql-udf-regexp/regexp$ sudo make install
if /bin/bash ./libtool --tag=CC --mode=compile gcc -DHAVE_CONFIG_H -I. -I. -I. -g -O2 -MT regexp_la-regexp.lo -MD -MP -MF ".deps/regexp_la-regexp.Tpo" -c -o regexp_la-regexp.lo test -f 'regexp.c' || echo './'regexp.c;
then mv -f ".deps/regexp_la-regexp.Tpo" ".deps/regexp_la-regexp.Plo"; else rm -f ".deps/regexp_la-regexp.Tpo"; exit 1; fi
mkdir .libs
gcc -DHAVE_CONFIG_H -I. -I. -I. -g -O2 -MT regexp_la-regexp.lo -MD -MP -MF .deps/regexp_la-regexp.Tpo -c regexp.c -fPIC -DPIC -o .libs/regexp_la-regexp.o
regexp.c:56:23: fatal error: my_global.h: No such file or directory
#include <my_global.h>
^
compilation terminated.
make: *** [regexp_la-regexp.lo] Error 1
ccc@ubuntu:/Desktop/mysql-udf-regexp/regexp$ locate my_global.h
/usr/include/mysql/my_global.h
Please help

[Alaanor]

same here (Same version: Ubuntu 14.04 LTS)