How you installed GNUstep? In which system? I suppose the error you refer is when try to build the Hello program, right? Maybe you only need run the GNUstep script before run "make". Something like:
. /usr/GNUstep/....../GNUstep.sh
Notice the space after the dot.
If this isn't your problem. Post here what you type at shell and the output.
Germán.