which OS are you using?
anyway if you are using ubuntu, from this https://github.com/brianmario/mysql2/issues/8
run:
sudo apt-get install mysql-client libmysqlclient-dev
Otherwise for Mac users,(use brew to install) check this Link, or run:
brew install mysql
then
sudo gem install mysql2
and for windows users check the link below for a solution.
Error installing mysql2: Failed to build gem native extension
I would recommend to use the normal command prompt.