I found it in my installation of Octave 3.2.2 on Windows: C: \ Octave \ 3.2.2_gcc-4.3.0 \ include \ octave-3.2.2 \ octave.
Are you using a different operating system? If so, you may need to set the headers separately. For example, Ubuntu 10.10 has a separate octave3.2-headers package .
Windows, Octave , 3.2.2 . Windows Octave-Forge.