You can find the data we used for Africa on UNEP’s site at: http://grid2.cr.usgs.gov/datasets/datalist.php3
The data are in vector format (ArcInfo export files). In creating GPW, we adjusted the population estimates to 1990 and 1995, subtracted out lake and ice areas, then distributed the population from each administrative unit across the grid cells that fall within the administrative unit.
So an administrative unit with a population of 1,000 that contained 100 grid cells would result in 10 persons being assigned to each grid cell.
The densities were derived by dividing the grid of population by a grid of land area.