How to find development libraries for Ubuntu

Today I was compiling boost in my Ubuntu Linux 14.10 and got the following error:

libs/iostreams/src/bzip2.cpp:20:56: fatal error: bzlib.h: No such file or directory

Then I searched the web and found a nice explanation in this site.

I'll describe below a generic procedure to find which Ubuntu package contains some header file:

1) Install apt-file:

sudo su
apt-get install apt-file
apt-file update

2) Search for packages containing the header file:

apt-file search bzlib.h

3) Install the package:

apt-get install libbz2-dev