Actually it did make sense.  :)  I created /usr/include/jpeg and moved 
the file there.  A make clean and a make later, I get the same message. 
 fun fun...

Jim Kaufman wrote:

>Make sure you have installed the jpeg-devel package. It contains the
>header files you need to compile. If it wasn't installed, install it and
>re-run the configure script (if it exists), then make clean; make.
>
>If it was installed, look for jpeglib.h. It might be in /usr/include,
>but your Makefile is looking in /usr/include/jpeg. If the configure
>script figures out the location of jpeglib.h, great. If not, you could
>create the directory /usr/include/jpeg and move jpeglib.h there.
>
>Hope this makes sense.
>