Do you have mysql installed? What happens when you type: mysql --
i.e.: mysql --version
mysql Ver 14.14 Distrib 5.1.31, for apple-darwin9.5.0 (powerpc) using
How about when you type: which mysql_config
i.e.: which mysql_config
Assuming you have mysql installed, you can install the mysql gem by
gem install mysql --with-mysql-config=/usr/local/mysql/bin/
NOTE: substitute your path to mysql_config for mine here.
If you don't have mysql installed, go to http://www.mysql.com/ and
follow the download instructions for your system.