You have to include the folders
path/to/pjsipprojectfolder/pjsip/include
path/to/pjsipprojectfolder/pjmedia/include
path/to/pjsipprojectfolder/pjnpath/include
path/to/pjsipprojectfolder/pjlib-util/include
path/to/pjsipprojectfolder/pjlib/include
to your "Header Search Paths" under "Build Settings".
Now the compiler can find all the *.h files