Firstly, after down loading the GSL from web, go to the directory of the file and type ./configure, then after it finishes, type make.
Secondly, since the project has a MakeFile which has to include the GSL, the directory of include will be the root of the GSL, such as
/home/shiwenling/Desktop/gsl-1.15
and the lib files should be the directories of libs in GSL, such as
/home/shiwenling/Desktop/gsl-1.15/libs
And if there is a cannot find comment error, probably you haven't set the include of lib right. Also, if there is an error saying cannot find some link files, you will have to check whether the required files are under usr/lib.
It's really uncomfortable using ubuntu to set up the environment, while in windows cygwin can solve the problem easily by just installing the GSL without any command. Also, it's much more easy to implement.
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