Checking if your kit is complete...
Looks good
Note (probably harmless): No library found for -lmx
Note (probably harmless): No library found for -leng
Writing Makefile for Math::Matlab::Engine
cp lib/Math/Matlab/Engine.pm blib/lib/Math/Matlab/Engine.pm
AutoSplitting blib/lib/Math/Matlab/Engine.pm (blib/lib/auto/Math/Matlab/Engine)
/home/cpanrun/build/5.6.1/bin/perl -I/home/cpanrun/build/5.6.1/lib/5.6.1/i686-linux-thread-multi -I/home/cpanrun/build/5.6.1/lib/5.6.1 /home/cpanrun/build/5.6.1/lib/5.6.1/ExtUtils/xsubpp  -typemap /home/cpanrun/build/5.6.1/lib/5.6.1/ExtUtils/typemap -typemap typemap Engine.xs > Engine.xsc && mv Engine.xsc Engine.c
Please specify prototyping behavior for Engine.xs (see perlxs manual)
gcc -c -I/usr/global/matlab6/extern/include -DUSE_REENTRANT_API -D_GNU_SOURCE -D_REENTRANT -fno-strict-aliasing -D_LARGEFILE_SOURCE -D_FILE_OFFSET_BITS=64 -O2   -DVERSION=\"0.02\" -DXS_VERSION=\"0.02\" -fpic -I/home/cpanrun/build/5.6.1/lib/5.6.1/i686-linux-thread-multi/CORE  Engine.c
Engine.xs:5: engine.h: No such file or directory
make: *** [Engine.o] Error 1