Dear Benedict,
You do not mention what operating system you are on, and you don't say very much about what path you installed to. So there might be the need for a bit more, but you should be able to use the instructions here: https://www.gnu.org/software/gsl/doc/html/usage.html#compiling-and-linking I note that you did a single instruction to compile and link, while the documentation shows separate ones. That means that you should put the link instructions in your single command. You could try: g++ -I ../gsl-2.6 blub.cpp -o blub -L../gsl-2.6/lib -lgsl -lgslcblas -lm Note that I made the guess that your libraries were installed in ../gsl-2.6/lib, but I really don't know if that's where they are. You should use the -L option to point to where files like libgsl.so and libgslcblas.so are located.
