"fatal error: my_global.h: No such file or directory" when building from source

This is simply a copy of https://github.com/MariaDB/mariadb-connector-odbc/issues/6 reported by https://github.com/rhansen

I get the following when I try to build the odbc-2.0 branch (rev fbd517e):

$ cd ~/mariadb-connector-odbc
$ git clean -dxf && mkdir _build && (cd _build && cmake .. && make)
– The C compiler identification is GNU 5.3.1
– Check for working C compiler: /usr/lib/ccache/cc
– Check for working C compiler: /usr/lib/ccache/cc – works
– Detecting C compiler ABI info
– Detecting C compiler ABI info - done
– Detecting C compile features
– Detecting C compile features - done
– Looking for floor
– Looking for floor - not found
– Looking for floor in m
– Looking for floor in m - found
– Found MariaDB libraries: /usr/local/lib/mariadb
– Found ODBC Driver Manager includes: /usr/include
– Found ODBC Driver Manager libraries: /usr/lib/x86_64-linux-gnu
– Checking if SQLColAttribute expects SQLPOINTER FALSE
– Configuring to build without SSL support
– Configuring tests for linking against the DM library
– Performing Test ICONV_SECOND_ARGUMENT_IS_CONST
– Performing Test ICONV_SECOND_ARGUMENT_IS_CONST - Success
– Found Iconv: /usr/lib/x86_64-linux-gnu/libc.so
– License File: /home/rhansen/mariadb-connector-odbc/COPYING
– ReadMe File: /home/rhansen/mariadb-connector-odbc/README
– Source Package Filename: mariadb-connector-odbc-2.0.11-ga-src.TGZ
– Configuring done
– Generating done
– Build files have been written to: /home/rhansen/mariadb-connector-odbc/_build
Scanning dependencies of target maodbc
[ 1%] Building C object CMakeFiles/maodbc.dir/odbc_3_api.c.o
In file included from /home/rhansen/mariadb-connector-odbc/odbc_3_api.c:21:0:
/home/rhansen/mariadb-connector-odbc/ma_odbc.h:32:23: fatal error: my_global.h: No such file or directory
compilation terminated.
CMakeFiles/maodbc.dir/build.make:62: recipe for target 'CMakeFiles/maodbc.dir/odbc_3_api.c.o' failed
make[2]: *** [CMakeFiles/maodbc.dir/odbc_3_api.c.o] Error 1
CMakeFiles/Makefile2:67: recipe for target 'CMakeFiles/maodbc.dir/all' failed
make[1]: *** [CMakeFiles/maodbc.dir/all] Error 2
Makefile:149: recipe for target 'all' failed
make: *** [all] Error 2