There is no JAR called gluegen-natives-linux-i586.jar as far as I know, you shouldn't create such a symbolic link, you should just put gluegen*-rt*.jar into your classpath instead of gluegen.jar so that GlueGen looks for gluegen*-rt*-natives-linux-i586.jar instead of gluegen-natives-linux-i586.jar, exactly like it is indicated in absolutely all our tutorials.
Edit.: Rather ask your questions about JogAmp (JOGL, JOAL, JOCL) on our official forum.