Quoting Greg Troxel (gdt_at_fnord.ir.bbn.com):
> [from 4.6.5 experience, so this may be different in 4.6.6]
> 
> More than likely, you have to type 'make
> coda', not 'make'.  The 'coda' target puts includes in place, but the
> default target does not (IMHO this is a bug in the build system).

That seems to have done it. Is this documented somewhere? The Makefile says: 
# TARGETS:
#       install recursively build and install objects
#       all     recursively build objects
#       clean   recursively descend the tree and clean .a's, .o's, binaries, ...
#       rcs     populate the tree with rcs links
#       reconfigure
#               do a ../configure again with all the same args

Which is nowhere near accurate.

Mike Stone