Here are a few solutions you can try:
As AbiusX pointed out: If you have just now installed the library, you may simply need to run ldconfig.
sudo ldconfig
ldconfig creates the necessary links and cache to the most recent shared libraries found in the directories specified on the command line, in the file /etc/ld.so.conf, and in the trusted directories (/lib and /usr/lib).
Usually your package manager will take care of this when you install a new library, but not always, and it won't hurt to run ldconfig even if that is not your issue.
If that doesn't work, I would also check out Paul's suggestion and look for a "-dev" version of the library. Many libraries are split into dev and non-dev packages. You can use this command to look for it:
apt-cache search <libraryname>
This can also help if you simply have the wrong version of the library installed. Some libraries are published in different versions simultaneously, for example, Python.
If you are sure that the right package is installed, and ldconfig didn't find it, it may just be in a nonstandard directory. By default, ldconfig looks in /lib, /usr/lib, and directories listed in /etc/ld.so.conf and $LD_LIBRARY_PATH. If your library is somewhere else, you can either add the directory on its own line in /etc/ld.so.conf, append the library's path to $LD_LIBRARY_PATH, or move the library into /usr/lib. Then run ldconfig.
To find out where the library is, try this:
sudo find / -iname *libraryname*.so*
(Replace libraryname with the name of your library)
If you go the $LD_LIBRARY_PATH route, you'll want to put that into your ~/.bashrc file so it will run every time you log in:
export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/path/to/library