From lib/Makefile.in:
install-includeHEADERS: $(include_HEADERS)
        @$(NORMAL_INSTALL)
        $(mkinstalldirs) $(DESTDIR)$(includedir)
        @list='$(include_HEADERS)'; for p in $$list; do \
          if test -f "$$p"; then d= ; else d="$(srcdir)/"; fi; \
          echo " $(INSTALL_DATA) $$d$$p $(DESTDIR)$(includedir)/$$p"; \
          $(INSTALL_DATA) $$d$$p $(DESTDIR)$(includedir)/$$p; \
        done

What this does in practice:
  $ mkinstalldirs [prefix]/include
  $ install -c -m 644 ../include/curl/curl.h \
  [prefix]/include/../include/curl/curl.h
  $ install -c -m 644 ../include/curl/easy.h \
  [prefix]/include/../include/curl/easy.h

See the problem? You created [prefix]/include but include files are
being installed into [prefix]/include/curl which does not exist. Do
you really want include files installed into [prefix]/include/curl or
[prefix]/include?

-- 
albert chin (china_at_thewrittenword.com)