Yes, you need the MYSQL development files. you will also need mysql.h too. You can find all these on the MYSQL website. If you are using C++ however, I would recommend using MYSQL++ as this is a much more powerful API (to use MYSQL++ you will also need to download the C MYSQL API).
Tell me, i need to do this!
main.obj : error LNK2001: unresolved external symbol "__declspec(dllimport) public: virtual __thiscall mysqlpp::Connection::~Connection(void)" (__imp_??1Connection@mysqlpp@@UAE@XZ)