It’s in one of your compiler’s search paths, or perhaps it does not exist in which case your code probably will not compile.
On *nix systems, the search paths are usually /usr/include, perhaps some compiler-specific paths, and any number of paths you gave to your compiler via -I options or similar when you invoked it.
If you’re on Linux, try locate ose_gw.h and see what comes up.
solved where is the extern file in C++