As long as you didn't chang anything in the makefile, it isn't the problem.
Did you leave all the JGE stuff inside the JGE folder, or did you move things around? The reason I ask is because the makefiles for the JGE samples, as well as the new projects created by newproject.bat, point the include directories and the lib directories to a path relative to the makefile in the lines below.
INCDIR = ../../JGE/include ../../JGE/include/psp ../../JGE/include/psp/freetype2 ../../JGE/src
LIBDIR = ../../JGE/lib/psp
If you left the folder structure in tact, the I'm at a loss. If you copied the tutorial folders into your projects directory, then that's at least part of your problem. You'll either have to edit the makefile and put in the absolute path to the JGE include and lib folders, or you'll have to put everything back the way it was with the same folder structure as it had when you un-rar'ed the archive.