I am trying to get cgminer on Ubuntu 14.04 and the Guide is troubling me
It sounds like you were not in the right directory. Modify this if needed and see if it helps

cp /home/USER/include/* /home/USER/cgminer-3.7.2/ADL_SDK

Just replace USER with your username. If you are running as root (not recommended) then change /home/USER/ to /root/

If that still says directory not found then I don't think you extracted the package from AMD to the right directoy