Dave

Acutally, make shouldn't be in the current directory.
ie.
$ which make
/usr/bin/make

So, in my experience, the procedure should be something along the lines of:

tar zxvf <pkg>.tar.gz
cd <pkg>
./configure
make
su -c "make install"

Ofcourse you should replace <pkg> where appropriate. Also, that should be done from some form of console (ie. xterm or a virtual terminal). Finally, as pointed out above, make sure that gcc is installed ("gcc -v" should give you an idea as to whether it's installed or not).