X11/Xlib.h file not found
The instructions you quote tell you exactly what the issue is

When you type make you will be prompted to install Xcode. You can also install Xcode by typing the terminal command xcode-select --install
If your compilation fails with an Xlib not found error, install XQuartz to get X11 headers under /opt/X11, and then type:

CPPFLAGS=-I/opt/X11/include
make ARCH=macosx