If you have not done so already, you will need to install the Kernel Header Files for your particular kernel. I'm not familiar with Slackware, so I cannot advise you on how to go about doing this.
Typically the asm directory, containing io.h, is located in the following area (again, this may not apply to Slackware):
Code:
/lib/modules/`uname -r`/build/include
P.S. You may also have a link to io.h in /usr/include/sys