Jade,
I suspect you're mising libxml2 and libxml2-devel. They're
available from ftp://xmlsoft.org.
I can't give you any hints on compiling these on Mac OS X since I
haven't had the pleasure of using that OS (yet!).
If you do have libxml2-devel installed, then the problem is that
the nsxml Makefile is not properly pointing to your libxml2 include
files. Hope that gets you started...