Esa definicio, esta en mysq.h de dolphin, debes incluir la llamada a dicho archivo.
enum mysql_option
{
MYSQL_OPT_CONNECT_TIMEOUT, MYSQL_OPT_COMPRESS, MYSQL_OPT_NAMED_PIPE,
MYSQL_INIT_COMMAND, MYSQL_READ_DEFAULT_FILE, MYSQL_READ_DEFAULT_GROUP,
MYSQL_SET_CHARSET_DIR, MYSQL_SET_CHARSET_NAME, MYSQL_OPT_LOCAL_INFILE,
MYSQL_OPT_PROTOCOL, MYSQL_SHARED_MEMORY_BASE_NAME, MYSQL_OPT_READ_TIMEOUT,
MYSQL_OPT_WRITE_TIMEOUT, MYSQL_OPT_USE_RESULT,
MYSQL_OPT_USE_REMOTE_CONNECTION, MYSQL_OPT_USE_EMBEDDED_CONNECTION,
MYSQL_OPT_GUESS_CONNECTION, MYSQL_SET_CLIENT_IP, MYSQL_SECURE_AUTH,
MYSQL_REPORT_DATA_TRUNCATION, MYSQL_OPT_RECONNECT,
MYSQL_OPT_SSL_VERIFY_SERVER_CERT, MYSQL_PLUGIN_DIR, MYSQL_DEFAULT_AUTH,
MYSQL_OPT_BIND,
MYSQL_OPT_SSL_KEY, MYSQL_OPT_SSL_CERT,
MYSQL_OPT_SSL_CA, MYSQL_OPT_SSL_CAPATH, MYSQL_OPT_SSL_CIPHER,
MYSQL_OPT_SSL_CRL, MYSQL_OPT_SSL_CRLPATH,
MYSQL_OPT_CONNECT_ATTR_RESET, MYSQL_OPT_CONNECT_ATTR_ADD,
MYSQL_OPT_CONNECT_ATTR_DELETE,
MYSQL_SERVER_PUBLIC_KEY,
MYSQL_ENABLE_CLEARTEXT_PLUGIN,
MYSQL_OPT_CAN_HANDLE_EXPIRED_PASSWORDS,
/* MariaDB options */
MYSQL_PROGRESS_CALLBACK=5999,
MYSQL_OPT_NONBLOCK,
MYSQL_OPT_USE_THREAD_SPECIFIC_MEMORY
};
