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You need to change to the mod_dav directory (cd ~/Desktop/mod_dav-1.0.3-1.3.6), not type the directory name on the command line, which tells the shell to execute that command (it's why you get a permission denied error... it can't execute a directory).
Besides which, you don't have the developer tools installed. Go to http://connect.apple.com/ and sign up as an ADC (Apple Developer Connection) Member. Once you're logged in, you can download the 301.2MB December 2002 developer kit.
Install that and you're halfway there.
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