Help with BSD make

[Sad Clouds <cryintothebluesky%googlemail.com@localhost>]

Hello, I'm learning make(1), so a bit of a daft question:

all: .PHONY
        cd /tmp
        pwd

This gives

cd /tmp
make: exec(cd) failed (No such file or directory)
*** Error code 1


What is going on?

Thanks.