The python-ldap is based on OpenLDAP, so you need to have the development files (headers) in order to compile the Python module. If you’re on Ubuntu, the package is called libldap2-dev.
Debian/Ubuntu:
sudo apt-get install libsasl2-dev python-dev libldap2-dev libssl-dev
RedHat/CentOS:
sudo yum install python-devel openldap-devel