Gypsum is found by digging in dirt patches in the western part of Egypt. Listed below are locations where the presence of gypsum has been confirmed. Just dig for stones as usual and gypsum will appear (will take a few minutes before it begins to).
Gypsum is used, along with an equal quantity of bauxite, in the manufacture of cement.
Gypsum was first learnt of in the books Unusual Minerals Volumes 1 and 2, which were discovered buried in fragments throughout Egypt during our grandparent's Age.