I tried using the supplied SGE library over at ps2dev.org for PSP and ran into many issues when compiling against my own applications (missing support for some libraries I needed, plus there were truncating issues).
Therefore, I downloaded the source from the official site: http://www.etek.chalmers.se/~e8cal1/sge/ and ported the source myself.
One thing I noticed as well was that the version checked in at ps2dev's SVN was a little outdated and was missing SDL_image, Freetype, and C++ Class support. Its all included in this lib.
Details are covered in the README.PSP file. but here are the instructions and requirements anyway.
Code:Requirements: SDL SDL_image freetype To build and install: make -f Makefile.psp config make -f Makefile.psp make -f Makefile.psp install Usage: LIBS += -lSGE
As for compiling and executing the examples..... README.PSP in the examples directory explains it all. Some of them are quite fun to watch... ;p
This library is used for SDL based games/applications.