Check your installation of the info files. The file djgpp.env in the root of your djgpp installation mentions the variable INFOPATH which should point to the directory where info looks for its files. It must find there a file named dir and other files with .iNN extension, where NN is a number.

Assuming the above checks OK, and all the necessary info files are indeed installed in those directories (did you remember to give that -d switch to pkunzip?), it might be that some of the files were edited with a DOS-based editor, which converted the newline characters to the CR/LF pairs. The DOS port of info doesn't like this, because this invalidates the tag tables included with the files, which info uses to quickly find the various nodes.

To work around this, run dtou.exe on the offending files, it will strip the extra CR characters to make info happy. dtou is in your bin/ subdirectory of the main djgpp directory.