Get GSL from http://www.gnu.org/software/gsl/
$ wget ftp://ftp.gnu.org/gnu/gsl/gsl-latest.tar.gz
$ tar -xzvf gsl-latest.tar.gz
$ mkdir <path-to-install-gsl>
$ cd gsl-*.*
$ ./configure --prefix=<path-to-install-gsl>
$ make
$ make check
$ make install