The Heirarchical Data Format, version 5, must be built and accessible. Source code and prebuilt releases of HDF5 are available from the National Centre for Supercomputing Applications at ftp://hdf.ncsa.uiuc.edu/HDF5/. Follow the documentation from NCSA if you plan on building HDF5 yourself.
An extremely important requirement is that an ANSI-compliant C compiler be used. Some native compilers cannot handle ANSI C and HL-HDF will therefore not build.