glib tends to hide itself… Your include statement doesn’t work because GCC doesn’t automatically search subdirectories, and so cannot see the glib.h in glib-1.2 or glib-2.0.
Read the Compiling GLib Applications page in the GLIB manuals… you use commands like pkg-config --cflags glib-2.0 to get the right flags for GCC.
The canonical way to do what you are trying is
% gcc test.c -Wall -o test `pkg-config --cflags --libs glib-2.0`
Note the back-ticks, which tell the shell to run the pkg-config command “in-place”.