[Exim] compiling exim with mysql support

I'm trying to compile exim with mysql-support, but I have some problems
compiling it.

I get the following error: No Rule to make target 'lookups/lookups.a' ...

My Local/Makefile lookup settings looks like this:
LOOKUP_INCLUDE=-I/usr/local/mysql/include
LOOKUP_LIBS=-L/usr/local/mysql/lib -lmysqlclient

TIA,

Jeff Jensen