You need to download and install GMP header and library files in this directory.

This page has copies: http://www.cs.nyu.edu/exact/core/gmp/

You will probably want: static GMP library and header file for Visual C++
Which is located: http://www.cs.nyu.edu/exact/core/gmp/gmp-static-vc-4.1.2.zip

The particular files required are gmp.h and gmp.lib