SF Cave SDL, requires er SDL. You need to install all the libSDL ipks from here: http://www.gnurou.org/software/zaurus/
I think there might be another SDL package required by SF Cave SDL that isn't on that page like libsdl-gfx which I got off an OZ feed and converted to the Sharp ROM format.
I think it also requires libpng, but that can be provided by running the following commands as root:
ln -s libqte.so.2.3.2 libpng12.so.0
If it doesn't seem to work, run it from the command line and it will tell you the library it is missing.
SF Cave SDL is much better than the previous version.