The gsl R package is a wrapper for the GSL C library (note capitalization).

Installing gsl from source requires you to download and install GSL
first.  Ensure that you can compile and run a simple test program such
as the example program near the start of the gsl Reference Manual.

Some linux users report that is is possoble to go to the Ubuntu
Software Center and install "GNU Scientific Library (GSL) --
development package", which has the name "libgsl0-dev".

If the gsl R package builds successfully but will not load, make sure
to inform your system linker/loader where to find the GSL libraries
used to compile it.  That step may be missed when using a manual GSL
installation as opposed to one performed by a package manager.