In Debian, UDT's headers files are placed in /usr/include/udt. Any references
in the examples and documentation to including headers files, like:

    #include <udt.h>

need to be prefixed with 'udt' like so:

    #include <udt/udt.h>

Since UDT's header files are generically named, moving them to their own
subdirectory helps prevent name collisions with other system header files.