I get these results, due to the fact that I have multiple Lua versions installed on my system (OSX 10.10.2), managed with homebrew:
j@w1x8:~/.vim/bundle/color_coded {(master)}
$ make
Tracking API changes...
Building bin/libcolor_coded_boost_system.a
Compiling src/error_code.cpp
Linking bin/libcolor_coded_boost_system.a
Building bin/libcolor_coded_boost_filesystem.a
Compiling src/codecvt_error_category.cpp
Compiling src/operations.cpp
Compiling src/path.cpp
Compiling src/path_traits.cpp
Compiling src/portability.cpp
Compiling src/unique_path.cpp
Compiling src/utf8_codecvt_facet.cpp
Linking bin/libcolor_coded_boost_filesystem.a
Building bin/color_coded.so
Compiling src/main.cpp
src/main.cpp:3:12: fatal error: 'lua.h' file not found
#include <lua.h>
^
1 error generated.
make: *** [src/main.cpp.o] Error 1
$ ls /opt/local/lib/lua
/opt/local/lib/liblua.5.1.5.dylib /opt/local/lib/liblua.5.2.dylib /opt/local/lib/liblua.dylib /opt/local/lib/libluajit-5.1.2.0.3.dylib /opt/local/lib/libluajit-5.1.dylib
/opt/local/lib/liblua.5.1.dylib /opt/local/lib/liblua.5.3.0.dylib /opt/local/lib/liblua5.1.dylib /opt/local/lib/libluajit-5.1.2.dylib
/opt/local/lib/liblua.5.2.3.dylib /opt/local/lib/liblua.5.3.dylib /opt/local/lib/libluabind.dylib /opt/local/lib/libluajit-5.1.a
/opt/local/lib/lua:
5.1 5.2
/opt/local/lib/luarocks:
rocks
j@w1x8:~/.vim {}
$ ls /opt/local/include/lua
/opt/local/include/lua.hpp
/opt/local/include/lua-5.1:
lauxlib.h lua.h lua.hpp luaconf.h lualib.h
/opt/local/include/lua-5.3:
lauxlib.h lua.h lua.hpp luaconf.h lualib.h
/opt/local/include/lua5.1:
lauxlib.h lua.h lua.hpp luaconf.h lualib.h
/opt/local/include/lua5.2:
lauxlib.h lua.h lua.hpp lua5.2 luaconf.h lualib.h
/opt/local/include/lua5.3:
lauxlib.h lua.h lua.hpp luaconf.h lualib.h
/opt/local/include/luabind:
adopt_policy.hpp container_policy.hpp exception_handler.hpp iterator_policy.hpp open.hpp scope.hpp weak_ref.hpp
back_reference.hpp copy_policy.hpp from_stack.hpp lua_include.hpp operator.hpp shared_ptr_converter.hpp wrapper_base.hpp
back_reference_fwd.hpp dependency_policy.hpp function.hpp luabind.hpp out_value_policy.hpp tag_function.hpp yield_policy.hpp
class.hpp detail get_main_thread.hpp make_function.hpp prefix.hpp typeid.hpp
class_info.hpp discard_result_policy.hpp get_pointer.hpp nil.hpp raw_policy.hpp value_wrapper.hpp
config.hpp error.hpp handle.hpp object.hpp return_reference_to_policy.hpp version.hpp
/opt/local/include/luajit-2.0:
lauxlib.h lua.h lua.hpp luaconf.h luajit.h lualib.h