whether you have installed cython in the correct version. Namely you should install cython for python2/3 if you use python2/3
whether you have downloaded the whole .zip file from this github project. Namely, you should download all the things here even though you only need PythonAPI
whether you open Terminal and run "make" under the correct folder. The correct folder is the one that "Makefile" is located in
whether you have already installed gcc in the correct version
whether you have already installed python-dev in the correct version. Namely you should install python3-dev (you may try "sudo apt-get install python3-dev"), if you use python3.