Welcome to LQ.
I think, bzip2 is installed by default, so what you could
be missing is 'libbz2-dev' ( to compile an application.)
Like said by TB0ne, please use 'apt-get' for install :
sudo apt-get install libbz2-dev
About 26,000 packages are available with 'apt-get' or
the "Package Manager" = Synaptic.
Package info libbz2-dev
http://packages.ubuntu.com/jaunty/libbz2-dev
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