Nat, it looks like "make" isn't working. This is probably because it isn't installed - it's not by default on Mac OS X.
You need to install the developer tools. A version should have shipped on a separate disk with your mac, but that's probably out of date now (but will still work if you have it.)
I suggest you sign up for an ADC account from http://developer.apple.com/
. Once you've got one (nothing more complicated than a username and password and email address to sign up) you'll be able to download the 938.2MB of developer tools as a DMG. Once you've got that installing it as simple as double clicking the image, and then double clicking the XCodeTool.mpkg inside that.
installing LWP should then be as simple as:
$ sudo cpan
(answer "no" to the "are you ready for manual setup" to use the defaults)
cpan> install LWP::UserAgent
If you have problems getting the developer tools then drop me a line and I'll burn you a DVD with them on and stick 'em in the post.