I have installed libxml2 on my machine:
sudo aptitude install libxml2
But I can't find header files. Where header files are located?
Try installing libxml2-dev instead. And then you'll find the header files in: /usr/include/libxml2/libxml/.
I checked this (without installing it) by installing the program apt-file. Then, I did: sudo apt-file update; sudo apt-file show libxml2-dev.