You  need to have a package phpize in order to compile an additional module. If you dont have phpize,  you need to install php-devel . When you install php from source.. you should get the phpize package.

Go to the directory where you have the extensions.

eg. /usr/src/php-5.2.10/ext/mysql



make && make install

it will tell you at the end where the module is build and then you can load that extension in the php.ini file.