Impossible to say with the few information provided. But, like powerpup118 suggested, the most likely reason is that you forgot to download and compile Bullet. Open the “wscript” file and make sure that all paths are valid on your computer, especially the ones who point to your Bullet libraries:
# Bullet
ctx.env.append_unique('INCLUDES',
'C:/Libraries/bullet-r2269/src')
ctx.env.append_unique('INCLUDES',
'C:/Libraries/bullet-r2269')
ctx.env.append_unique('LIBPATH',
'C:/Libraries/bullet-r2269/msvc/2008/lib/Release')If not modify them to match your needs.
By the way: Is there a particular reason why you try to compile yourself? Oh, and if you download the Bullet sources yourself make sure you apply the above mentioned fix to src/BulletDynamics/Character/btKinematicCharacterController.cpp.