A little pointer to help others stuggling with irrlicht and anjuta on linux. I had problems with the native libjpeg conflicting with the irrlicht version. It seems that not only has the path got to be set correctly but so has the order of the libs.
Install the libs compiled during setup into `/usr/local/libs`
In Settings->Compiler and Linker Settings choose the Library Paths so that /usr/lib/local is the top setting.
Choose the libraries tab and add the libs in this order
Irrlicht
GL
Xxf86vm
Xext
X11
z
jpeg
This should solve any problems with versions of jpeg libs and allow you to enjoy Irrlicht