There is a workaround on the MRJ Mailing List.
Apparently, CodeWarrior is having trouble with paths under OSX. The workaround is to install CodeWarrior on a regular MacOS partition rather than on the MacOS X partition (Hopefully, you installed MacOS X on a separate partition).
I was having the same link error message as you no matter what I tried until, I tried this workaround. I wiped out my previous CodeWarrior installation and made a clean installation on my MacOS 9.0.4 partition under MacOS 9.0.4. I then rebooted into MacOS X and installed the Java items in the Thrill Seekers folder. Now, I can finally program in Java with CodeWarrior under MacOS X.