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If you're using Ubuntu, then do the following.

sudo apt-get install libeigen3-dev

Otherwise, you can always build from source.

~ $ wget http://bitbucket.org/eigen/eigen/get/3.2.1.tar.bz2
~ $ tar -xjf 3.2.1.tar.bz2
~ $ cd eigen-eigen-6b38706d90a9
~/eigen-eigen-6b38706d90a9 $ mkdir build && cd build && cmake ../
~/eigen-eigen-6b38706d90a9 $ sudo make install
~/eigen-eigen-6b38706d90a9 $ sudo ldconfig

After you've installed eigen (hopefully the first way), you should be able to build the code. Unless some other dependency pops up... In which case, feel free to comment.