Embedded python in c++ on raspberry pi

Before I asked for how to call c++ in python, but that's quite difficult to me. And later on I found that if calling python in c++ seems much more easily. As I followed the tutorial on codeproject, I've got the following problem while I compile it.

"pi@raspberrypi ~/New $ g++ led.cpp"

led.cpp:3:20: fatal error: Python.h: No such file or directory
compilation terminated.

I searched solutions whole days. I tried sudo apt-get install python-dev (even other versions, eg. 2.7, 3.2, etc..), but everything are already completely installed and still get the error. I can found the location of Python.h by find function of my raspberry pi.

Any finally I found the following solution on some site:

pi@raspberrypi ~/New $ g++ $(python-config --includes) led.cpp

Python.h fatal error dismissed, and following error comes.

/tmp/ccSIJpeH.o: In function `main':
led.cpp:(.text+0x30): undefined reference to `Py_Initialize'
led.cpp:(.text+0x44): undefined reference to `PyString_FromString'
led.cpp:(.text+0x54): undefined reference to `PyImport_Import'
led.cpp:(.text+0x64): undefined reference to `PyModule_GetDict'
led.cpp:(.text+0x84): undefined reference to `PyDict_GetItemString'
led.cpp:(.text+0x94): undefined reference to `PyCallable_Check'
led.cpp:(.text+0xbc): undefined reference to `PyObject_CallObject'
led.cpp:(.text+0xc4): undefined reference to `PyErr_Print'
led.cpp:(.text+0x158): undefined reference to `Py_Finalize'
collect2: ld returned 1 exit status

Please tell me how to solve this!

Addendum: Thank you Nitori answer my question. I can compile it now. After compiled it, it created an "a.out" file, but when I runs it it done nothing...

This is the code of led.cpp

// python functions from C code
// 
#include <Python.h>

int main(int argc, char *argv[])
{
    PyObject *pName, *pModule, *pDict, *pFunc, *pValue;

    if (argc < 3) 
    {
        printf("Usage: exe_name python_source function_name\n");
        return 1;
    }

    // Initialize the Python Interpreter
    Py_Initialize();

    // Build the name object
    pName = PyString_FromString(argv[1]);

    // Load the module object
    pModule = PyImport_Import(pName);

    // pDict is a borrowed reference 
    pDict = PyModule_GetDict(pModule);

    // pFunc is also a borrowed reference 
    pFunc = PyDict_GetItemString(pDict, argv[2]);

    if (PyCallable_Check(pFunc)) 
    {
        PyObject_CallObject(pFunc, NULL);
    } else 
    {
        PyErr_Print();
    }

    // Clean up
    Py_DECREF(pModule);
    Py_DECREF(pName);

    // Finish the Python Interpreter
    Py_Finalize();

    return 0;
}

Here is my python code to call. led.py

import RPi.GPIO as GPIO
import time

def ledopen():
    GPIO.setmode(GPIO.BCM)
    GPIO.setup(17, GPIO.OUT)
    GPIO.setup(27, GPIO.OUT)
    GPIO.setup(22, GPIO.OUT)
    GPIO.setup(18, GPIO.OUT)
    GPIO.setup(23, GPIO.OUT)
    GPIO.setup(24, GPIO.OUT)

    GPIO.output(27, True)
    GPIO.output(22, True)
    GPIO.output(18, True)
    GPIO.output(23, True)
    GPIO.output(24, True)
    GPIO.output(17, True)

    time.sleep(5)

    GPIO.output(27, False)
    GPIO.output(22, False)
    GPIO.output(18, False)
    GPIO.output(23, False)
    GPIO.output(24, False)
    GPIO.output(17, False)

    GPIO.cleanup()
    return
ledopen()

and I called the program by entering "sudo ./a.out led led ledopen". And it done nothing.