An installation of OpenEXR was not found on your system.

If OpenEXR is in fact installed on this system, you may just need to modify
the EXRINCLUDE and EXRLIBDIR lines in the Makefile to point to the OpenEXR
headers and libraries.  By default, pbrt looks for them in
/usr/local/{include,lib}/, respectively.

If OpenEXR is not installed, you can either build it from source or use
your system's package manager to install it.

To build from source, download from http://openexr.com, untar it, and
follow the directions in the distribution to build and install OpenEXR.  By
default, it is installed in /usr/local, in which case the default
EXRINCLUDE and EXRLIBDIR lines in the pbrt Makefile will find it.  If you
install it in a different directory, you will likely need to update those
variables in the Makefile.

Many Linux distributions have package managers that can be used to install
prebuilt OpenEXR libraries.  However, many of them install relatively old
versions of OpenEXR, so you may be safest just installing it from the
latest source distribution from http://openexr.com.  Here are pointers
about how to install it with the package managers of various systems:

Ubuntu:
% sudo apt-get install openexr libopenexr-devel

Gentoo:
% sudo emerge openexr

Fedora:
% sudo yum install openexr-devel

(If you can send information about how to install it with the package
managers on other systems to authors@pbrt.org, we will add them here.)