Ruby-on-rails – Can’t find the ‘libpq-fe.h header when trying to install pg gem

I am using the Ruby on Rails 3.1 pre version. I like to use PostgreSQL, but the problem is installing the pg gem. It gives me the following error:

$ gem install pg
Building native extensions.  This could take a while...
ERROR:  Error installing pg:
    ERROR: Failed to build gem native extension.

        /home/u/.rvm/rubies/ruby-1.9.2-p0/bin/ruby extconf.rb
checking for pg_config... no
No pg_config... trying anyway. If building fails, please try again with
 --with-pg-config=/path/to/pg_config
checking for libpq-fe.h... no
Can't find the 'libpq-fe.h header
*** extconf.rb failed ***
Could not create Makefile due to some reason, probably lack of
necessary libraries and/or headers.  Check the mkmf.log file for more
details.  You may need configuration options.

Provided configuration options:
    --with-opt-dir
    --without-opt-dir
    --with-opt-include
    --without-opt-include=${opt-dir}/include
    --with-opt-lib
    --without-opt-lib=${opt-dir}/lib
    --with-make-prog
    --without-make-prog
    --srcdir=.
    --curdir
    --ruby=/home/u/.rvm/rubies/ruby-1.9.2-p0/bin/ruby
    --with-pg
    --without-pg
    --with-pg-dir
    --without-pg-dir
    --with-pg-include
    --without-pg-include=${pg-dir}/include
    --with-pg-lib
    --without-pg-lib=${pg-dir}/lib
    --with-pg-config
    --without-pg-config
    --with-pg_config
    --without-pg_config


Gem files will remain installed in /home/u/.rvm/gems/ruby-1.9.2-p0/gems/pg-0.11.0 for inspection.
Results logged to /home/u/.rvm/gems/ruby-1.9.2-p0/gems/pg-0.11.0/ext/gem_make.out

How do I solve this problem?