Make sure you have the OpenSP library installed (libosp.so) before compiling.  Yo can grab it at http://openjade.sourceforge.net/
The recommended version is OpenSP 1.5pre5
If you have a version of OpenJade or OpenSP already installed before compiling OpenSP, make sure that you use ./configure --prefix=/usr to build OpenSP.  Otherwise, LibOFX will probably link with the older, incompatible version of OpenSP.

Then type:
make
And as root type:
make install

LibOFX <==> OpenSP compatibility matrix:
OpenSP version               Status
1.3.4 (included in most      NOT COMPATIBLE
distro with OpenJADE 1.3.1)  OpenSP doesn't parse OFX files correctly
                             LibOFX < 0.23 will probably only output garbage.
1.4                          NOT TESTED
1.5pre5                      COMPATIBLE with all versions
1.5pre8                      COMPATIBLE with LibOFX >= 0.23

-BE CAREFULL:  When you compile OpenSP, by default it will install in /usr/local.  On many versions of linux (Most RedHat, All Mandrake up to 8.3) /usr/local/lib/ is not part of /etc/ld.so.conf .  In this case LibOFX will either
1-Fail to link at all
2-Link with libosp.so.0 (1.3.4, wich probably got installed as part of OpenJade) and not work.

Even if you add /usr/local/lib/ to /etc/ld.so.conf, LibOFX will probably still link with OpenSP 1.3.4.  Symptoms will be complaints of many unclosed statements when running ofxdump on an ofx file. 

I STRONGLY URGE YOU to avoid theese problems and compile OpenSP using
 ./configure --prefix=/usr

-Problems compiling OpenSP 1.4 
If you are getting errors like:
../include/Message.h:157: `class OpenSP::Messenger' is inaccessible nsgmls.cxx:60: within this context)

Try to change private to protected in file OpenSP-1.4/nsgmls/RasEventHandler.h, on line 105.