Py++ depends on pygccxml, which in turn depends on CastXML. You can install these packages from source yourself, but you can also use package managers. For CastXML there are binaries available at https://midas3.kitware.com/midas/folder/13152.
For Ubuntu 15.10 and newer you can install
sudo apt-get install castxml.
The pygccxml and Py++ packages can be installed with
pip (a package manager specifically for Python packages):
sudo apt-get install pip sudo -H pip install -vU pygccxml https://bitbucket.org/ompl/pyplusplus/get/1.7.tar.gz
If you use MacPorts on OS X, then Py++ and its dependencies can be installed like so:
sudo port install py27-pyplusplus # if you use python2.7 sudo port install py35-pyplusplus # if you use python3.5