Use of the GDAL or OGR ArcSDE drivers requires building GDAL/OGR with the ArcSDE client libraries.  On linux this is specified something like:

{{{
  ./configure --with-sde=/home/gdal/ArcSDE-10.0 \
              --with-sde-version=100
}}}

Note that the directory specified to --with-sde should have subdirectories "etc", "include" and "lib".  The version is the version number multiplied by 10, so ArcSDE 9.3 would be "93".