You can download and install latest (or required) OpenCL SDK here:

For Intel GPUs:
* https://software.intel.com/en-us/intel-opencl

For Nvidia GPUs:
* https://developer.nvidia.com/cuda-downloads

For AMD GPUs:
* http://developer.amd.com/tools-and-sdks/opencl-zone/amd-accelerated-parallel-processing-app-sdk/

For MALI-based GPUs:
* http://malideveloper.arm.com/resources/sdks/mali-opencl-sdk
* http://malideveloper.arm.com/resources/drivers/

NOTE that C++ headers are often not included by default.
You may hence need to manually download them here:
 * https://www.khronos.org/registry/cl/api/

For example, https://www.khronos.org/registry/cl/api/1.2/cl.hpp