Let’s say you found that bzlib.h is missing, you want to know which package provides it so you can install it from Yum command:

 

sudo yum whatprovides */bzlib.h

And then install that package

From your comment the package name is bzip2-devel-1.0.6-3.fc15.i686, so do:

sudo yum install bzip2-devel-1.0.6-3.fc15.i686