Hello.  I don't know if this problem is caused by the missing
directory or an incorrect header file somewhere.  In any case, should I
file a bug report?

Here's the relevant output from my build release.
Note that I'm building from netbsd-3 sources cvs'd on 4/21/2006
-Brian


===> build.sh command: ./build.sh -O /usr/obj -M /usr/obj -D /var/tmp/netbsd release
===> build.sh started: Sun Apr 23 09:52:04 PDT 2006
===> No nonexistent/bin/nbmake, needs building.

[...]

#   distcleaning the kernel objects
rm -f netbsd eddep tags *.[io] *.ln [a-z]*.s vers.c  [Ee]rrs linterrs makelinks assym.h.tmp assym.h  netbsd.gdb config_time.h cscope.out cscope.tmp ID .gdbinit
rm -f .depend
cd /usr/obj/usr/local/netbsd/src/sys/arch/i386/compile/XEN3_U && /usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/nbmake depend && /usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/nbmake
rm -f i386
ln -s /usr/local/netbsd/src/sys/arch/i386/include i386
rm -f x86
ln -s /usr/local/netbsd/src/sys/arch/x86/include x86
rm -rf xen-ma
mkdir xen-ma
ln -s ../i386 xen-ma/machine
depending the kern library objects
#    create  kern/__assert.d
CC=/usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/i386--netbsdelf-gcc /usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/nbmkdep -f __assert.d --     -I/usr/local/netbsd/src/sys/lib/libkern/arch/i386 -Di386 -I../../. -I/usr/local/netbsd/obj/usr/local/netbsd/src/sys/arch/i386/compile/XEN3_U/xen-ma -I/usr/local/netbsd/src/sys/arch -I/usr/local/netbsd/src/sys -nostdinc -DMAXPHYS="32768" -DLKM -DDIAGNOSTIC -DDEBUG -DCOMPAT_30 -DMAXUSERS=32 -D_KERNEL -D_KERNEL_OPT -I/usr/local/netbsd/src/sys/dist/ipf    -nostdinc -isystem /var/tmp/netbsd/usr/include  /usr/local/netbsd/src/sys/lib/libkern/__assert.c
#    create  kern/__cmsg_alignbytes.d
CC=/usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/i386--netbsdelf-gcc /usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/nbmkdep -f __cmsg_alignbytes.d --     -I/usr/local/netbsd/src/sys/lib/libkern/arch/i386 -Di386 -I../../. -I/usr/local/netbsd/obj/usr/local/netbsd/src/sys/arch/i386/compile/XEN3_U/xen-ma -I/usr/local/netbsd/src/sys/arch -I/usr/local/netbsd/src/sys -nostdinc -DMAXPHYS="32768" -DLKM -DDIAGNOSTIC -DDEBUG -DCOMPAT_30 -DMAXUSERS=32 -D_KERNEL -D_KERNEL_OPT -I/usr/local/netbsd/src/sys/dist/ipf    -nostdinc -isystem /var/tmp/netbsd/usr/include  /usr/local/netbsd/src/sys/lib/libkern/__cmsg_alignbytes.c
In file included from ../../machine/cpufunc.h:52,
                 from ../../x86/lock.h:50,
                 from /usr/local/netbsd/obj/usr/local/netbsd/src/sys/arch/i386/compile/XEN3_U/xen-ma/machine/lock.h:3,
                 from /usr/local/netbsd/src/sys/sys/lock.h:87,
                 from /usr/local/netbsd/src/sys/sys/ucred.h:37,
                 from /usr/local/netbsd/src/sys/sys/param.h:127,
                 from /usr/local/netbsd/src/sys/lib/libkern/__cmsg_alignbytes.c:39:
../../machine/hypervisor.h:88:37: machine/xen3-public/xen.h: No such file or directory
../../machine/hypervisor.h:89:39: machine/xen3-public/sched.h: No such file or directory
../../machine/hypervisor.h:90:42: machine/xen3-public/dom0_ops.h: No such file or directory
../../machine/hypervisor.h:91:47: machine/xen3-public/event_channel.h: No such file or directory
../../machine/hypervisor.h:92:41: machine/xen3-public/physdev.h: No such file or directory
../../machine/hypervisor.h:93:40: machine/xen3-public/memory.h: No such file or directory
../../machine/hypervisor.h:94:42: machine/xen3-public/io/netif.h: No such file or directory
../../machine/hypervisor.h:95:42: machine/xen3-public/io/blkif.h: No such file or directory
nbmkdep: compile failed.

*** Failed target:  __cmsg_alignbytes.d
*** Failed command: CC=/usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/i386--netbsdelf-gcc /usr/obj/usr/local/netbsd/src/tooldir.NetBSD-3.0_STABLE-i386/bin/nbmkdep -f __cmsg_alignbytes.d -- -I/usr/local/netbsd/src/sys/lib/libkern/arch/i386 -Di386 -I../../. -I/usr/local/netbsd/obj/usr/local/netbsd/src/sys/arch/i386/compile/XEN3_U/xen-ma -I/usr/local/netbsd/src/sys/arch -I/usr/local/netbsd/src/sys -nostdinc -DMAXPHYS="32768" -DLKM -DDIAGNOSTIC -DDEBUG -DCOMPAT_30 -DMAXUSERS=32 -D_KERNEL -D_KERNEL_OPT -I/usr/local/netbsd/src/sys/dist/ipf -nostdinc -isystem /var/tmp/netbsd/usr/include /usr/local/netbsd/src/sys/lib/libkern/__cmsg_alignbytes.c
*** Error code 1

Stop.
nbmake: stopped in /usr/local/netbsd/obj/usr/local/netbsd/src/sys/arch/i386/compile/XEN3_U/lib/kern