Be more robust in case the lazylinker_c.c isn't present.

theano/gof/lazylinker_c.py

 import errno
-import os, logging, sys
+import logging
+import os
+import sys
+import warnings
+
 
 import theano
 from theano import config
@@ -82,6 +86,20 @@ except ImportError:
             _logger.info("Compiling new CVM")
             dirname = 'lazylinker_ext'
             cfile = os.path.join(theano.__path__[0], 'gof', 'lazylinker_c.c')
+            if not os.path.exists(cfile):
+                # This can happen in not normal case. We just
+                # disable the c clinker. If we are here the user
+                # didn't disable the compiler, so print a warning.
+                warnings.warn(
+                    "The file lazylinker_c.c is not available. This do"
+                    "not happen normally. You are probably in a strange"
+                    "setup. This mean Theano ca not use the cvm:"
+                    "our c execution engine for Theano function. If you"
+                    "want to remove this warning, use the Theano flag"
+                    "'cxx=' (set to an empty string) to disable all c"
+                    "code generation."
+                )
+                raise ImportError("The file lazylinker_c.c is not available.")
             code = open(cfile).read()
             loc = os.path.join(config.compiledir, dirname)
             if not os.path.exists(loc):