Irrlicht does not have an "install" makefile target, so it is usually not installed but rather used in-place (where you unpacked the sources). So the wizard is looking for things as they are laid out inside the irrlicht folder.
In other words, don't try to "install" irrlicht. Just point the wizard to irrlicht's top-level folder.
With that said, I 'll have to check if it works in linux (I don't remember at all).