Ohhh I see what happened here, I didn't know GME was an actual API, I thought that was just the name of some extension cheeseboy or whoever added to the system.
http://code.google.com/p/game-music-emu/Basically, we don't distribute it because it is not essential to the main engine of ENIGMA or in anyway part of the main GM API, so you'll need to obtain and compile the source code and place the headers in the appropriate compiler include folder. Or if you are on Linux just checkout, run make, then make install it.