Your header file inclusions are just fine; your problem is occurring at the linking step. In order to link against libcurl, you need to add the -lcurl command line option, assuming it’s installed in a standard directory:
g++ -o sms ./src/sms.o -lcurl
If it’s not installed in a standard directory, you also need to add the -L/path/to/libcurl, e.g. something like:
# Assuming that /home/geekman/workspace/libcurl is where libcurl.a is located
g++ -o sms ./src/sms.o -L/home/geekman/workspace/libcurl -lcurl
Also note that the -lcurl option has to appear after the list of object files you’re linking, otherwise it won’t link properly.