when you configure and compile nagios, the instructions go something like this.
But if you then later install gd, or something, then you should clean up the source code before running ./configure again.
So, it is suggested that you run
before you run ./configure again.
So yea, you have not compiled nagios without errors at this point, so therefor, you don't have the files you need.
When running ./cofigure pay close attention and it will most likely TELL you that something is missing.