Hello!
So, XP decided to take a dive ... fortually I had dualboot with my trustworthy debian and I could retreive my projects.
I decided I'd try to code stuff on linux (ooo, scary) ... and, its quite simple actually. I've setup allegro and anjuta, I can compile just fine.
However, there is one thing that gives me the creeps. Whenever I start to debug I get a popup that says
"Error: Failed to read a valid object file image from memory."
The program starts just fine, I can debug etc. But damn its annoying to click on "ok" every damn time I start to debug.
The debug log gives the same message and above that it points to allegro/system.h line 81. That line is where allegro initializes itself
AL_INLINE(int, install_allegro, (int system_id, int *errno_ptr, AL_M( ... and some more irrelevent code)
Ok, so I figure, I need to run allegro debug libraries ...
ran ./configure --enable-dbglib=1 && make && make install
I didn't get a alld-4.2.0 library??
What gives? Any suggestions, I'm happy if I can get the damn popup to go away heh.
./configure --enable-dbglib=1 && make && make install
try
./configure && make DEBUGMODE=1 && make DEBUGMODE=1 install
Hopefully all that creepiness will go away 
ed:
and add DEBUGMODE=1 when compiling your source
and -lalld when linking
ed2: I've never used --enable-dbglib=1 that way under linux (assuming that's a valid way) but the other way has always worked for me
I havent done much coding or compiling for that matter on linux, but I've never seen anything else than "install" passed as a parameter to make 
The ./configure --help shows me the switch I mentioned above.
Anyways, your way worked. I got the debug libraries ... however, the problem persist. I've tried kdevelop and it doesn't whine about anything, but it has some other annoying "features" to it.
Its like the swedish saying "pest eller kolera" ... "plague or cholera", either choice has its own way to screw you.
Maybe I'll just have to live with the popup... sorta feels like running some shareware on windows