The cfitsio library is only required, when you want to compile the cora_rgs add-on program. This program converts fits files from XMM-SAS into the CORA format and is in most cases not required (cf. Sect. 5.1.1). cfitsio can be obtained from
http://heasarc.gsfc.nasa.gov/docs/software/fitsio/fitsio.html.The location of the library is specified with ./configure -with-cfitsio-lib=PFX, the location of the include files with ./configure -with-cfitsio-include=PFX (necessary are the include files fitsio.h and longnam.h).