Hmm, what do you mean? Are you adding -DHAVE_CG=1 to the build command by hand? That would probably not be sufficient. If you’re using ppremake to build, setting HAVE_CG may also not be sufficient; you also have to set HAVE_CGGL and define CG_LIBS and CGGL_LIBS.
Of course, the default build provided here is already compiled with Cg support.
Are you sure your graphics card and driver support shaders?
David