Se você está tentando instalar a gem pg, postgres ou postgres-pr e não está conseguindo devido a não encontrar o arquivo libpq-fe.h conforme o erro abaixo:

Building native extensions.  This could take a while...
ERROR:  Error installing postgres:
	ERROR: Failed to build gem native extension.
    /usr/bin/ruby1.9.1 -r ./siteconf20140905-19671-1cvys7f.rb extconf.rb
checking for pg_config... no
No pg_config... trying anyway. If building fails, please try again with
 --with-pg-config=/path/to/pg_config
checking for libpq-fe.h... no
Can't find the 'libpq-fe.h header
*** extconf.rb failed ***
Could not create Makefile due to some reason, probably lack of
necessary libraries and/or headers.  Check the mkmf.log file for more
details.  You may need configuration options.
Provided configuration options:
	--with-opt-dir
	--without-opt-dir
	--with-opt-include
	--without-opt-include=${opt-dir}/include
	--with-opt-lib
	--without-opt-lib=${opt-dir}/lib
	--with-make-prog
	--without-make-prog
	--srcdir=.
	--curdir
	--ruby=/usr/bin/ruby1.9.1
	--with-pg
	--without-pg
	--with-pg-config
	--without-pg-config
	--with-pg_config
	--without-pg_config
	--with-pg-dir
	--without-pg-dir
	--with-pg-include
	--without-pg-include=${pg-dir}/include
	--with-pg-lib
	--without-pg-lib=${pg-dir}/lib
extconf failed, exit code 1
Gem files will remain installed in /usr/lib/ruby/gems/1.9.1/gems/pg-0.17.1 for inspection.
Results logged to /usr/lib/ruby/gems/1.9.1/extensions/x86-linux/1.9.1/pg-0.17.1/gem_make.out

Para resolver esse problema basta instalar a lib ” libpq-dev”

No Ubuntu:

sudo apt-get install libpq-dev

No CentOS

yum install postgresql-devel

No Mac

brew install postgresql