Where is my ./configure file in OSX 10.8.4 (Mountain Lion)?
The configure script (not directory) is part of the source code archive you should have downloaded (capnproto-c++-X.Y.Z.tar.gz).

When you unpack that archive, change to the toplevel directory (capnproto-X-Y-Z) and run the configure command.

$ cd [to where you downloaded the archive]
$ tar xzf capnproto-c++-X.Y.Z.tar.gz
$ cd capnproto-c++-X.Y.Z
$ ./configure CXX=$HOME/clang-3.2/bin/clang++


Then run the subsequent commands (make and sudo make install) from that same directory.

This is rather generic - most autotool-based builds work exactly like that.