I've gone through CMAKE - ALL OpenEXR related entries point to /opt/lib/openexr. And yet, when doing the final linking, it fails unless I have OpenEXR-dev installed. I'd post this as a bug, but I tried to post something similar and got bitched out for posting compiling related bugs as... bugs.
Problems building blender are different from bugs in the build systems. Build problems do not belong in the bug tracker.
If you want help compiling, we need details - actual error messages.
Hint: the first error message is the important one, not the last.
Hint: you can get help in real-time on the #blendercoders IRC channel on freenode.net . More people are around during the day euro-time, but someone is usually there.