NOTE: if you did not build the Ogre SDK, you will need to download the Ogre Samples Package for the Basic Tutorial. If you have Ubuntu, you can do so by issuing the following commands in a terminal, with administrator privileges:
apt-get install ogre-samples-*
which will install 3 packages that you will need: one with the source code, another with the media files, the third one with binary libraries.
Setting Up An Application - Linux How to setup your own project for use with Ogre - Linux