Using the demo I found out, I am missing XML library and the cross-compiler did not really get build.
I spent few more hours trying to do it and now, finaly, the SDK and compiler works, I was able to build the AT sample.
However, the Makefile for the IoT demo seems to be wrong - the default option is FORCE and it has nothing as a content.
I'll try the demo from the other SDK - linked on the wiki.
But thanks - being able to finaly build something is a great start!