The .rsg file is a resource header file that contains symbolic names for index positions for each item in the resource file. This file is generated automatically during the compile process by the resource compiler (rcomp.exe) and is located in the epoc32\include\ directory.
If for some reason the .rsg is not created when you try to compile the project from the IDE, you can try to manually compile the resources from the command prompt, e.g:
in \group folder of your project, type:
> bldmake bldfiles
> abld makefile thumb
> abld resource thumb
If all goes well, .rsg should now be created and you can retry compiling the project.