Hi there,
compiling the lessons under Linux is way easier than on Windows, just get the library either from your package repository or download it from
here. Then you download the lesson you want, go to the build directory and either open up Code::Blocks (you can get it from here: http://www.codeblocks.org/downloads/binaries) or just open a terminal and type make.
Thats it!
Caste @ NeHe-Team