This, if it is installed then you make need to set your the LDFLAGS to include -L <path to=""/>
edit: In the newest version of vcf-tools in cpp/Makefile on line 18:
17 LIB = -lz
18 #LIB = -lz -I/opt/local/include/ -L/opt/local/lib/
You may need to comment out line 17 and uncomment line 18, fixing the paths for the -I and -L flags to point to where ever they are on your system.