Most likely curl support is not enabled.
You can check by creating a .php file with a phpinfo(); command in it. Browse to this and search/look for curl on the resulting page. If support is enabled, there will be a listing for it.
If this is with a hosting company, you will need to have them install/enable it. If this is a Windows based system, CURL can be enabled by uncommenting the curl extension line in the php.ini file – extension=php_curl.dll and restarting the web server. If this is Unix/Linux, PHP must be compiled with CURL support and the libcurl library must be installed.