Searching a little bit about it, I did not find anything that would make this file needed, so I just removed, and re-compiled the siege, and it worked fine. Who knows what the Ubuntu DEV is doing with the standard files.
Just in case this might help someone out there...
==============
# my setup
root@localhost:~# uname -a
Linux localhost 2.6.38-8-generic #42-Ubuntu SMP Mon Apr 11 03:31:24 UTC 2011 x86_64 x86_64 x86_64 GNU/Linux
root@localhost:~# cat /etc/issue
root@localhost:/home/bruno/Downloads/siege-2.70# make install
Making install in .
make[1]: Entering directory `/home/bruno/Downloads/siege-2.70'
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70'
make[2]: Nothing to be done for `install-exec-am'.
make[2]: Nothing to be done for `install-data-am'.
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70'
make[1]: Leaving directory `/home/bruno/Downloads/siege-2.70'
Making install in include
make[1]: Entering directory `/home/bruno/Downloads/siege-2.70/include'
Making install in joedog
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70/include/joedog'
make[3]: Entering directory `/home/bruno/Downloads/siege-2.70/include/joedog'
make[3]: Nothing to be done for `install-exec-am'.
make[3]: Nothing to be done for `install-data-am'.
make[3]: Leaving directory `/home/bruno/Downloads/siege-2.70/include/joedog'
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70/include/joedog'
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70/include'
make[3]: Entering directory `/home/bruno/Downloads/siege-2.70/include'
make[3]: Nothing to be done for `install-exec-am'.
make[3]: Nothing to be done for `install-data-am'.
make[3]: Leaving directory `/home/bruno/Downloads/siege-2.70/include'
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70/include'
make[1]: Leaving directory `/home/bruno/Downloads/siege-2.70/include'
Making install in lib
make[1]: Entering directory `/home/bruno/Downloads/siege-2.70/lib'
Making install in joedog
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70/lib/joedog'
make[3]: Entering directory `/home/bruno/Downloads/siege-2.70/lib/joedog'
make[3]: Nothing to be done for `install-exec-am'.
make[3]: Nothing to be done for `install-data-am'.
make[3]: Leaving directory `/home/bruno/Downloads/siege-2.70/lib/joedog'
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70/lib/joedog'
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70/lib'
make[3]: Entering directory `/home/bruno/Downloads/siege-2.70/lib'
make[3]: Nothing to be done for `install-exec-am'.
make[3]: Nothing to be done for `install-data-am'.
make[3]: Leaving directory `/home/bruno/Downloads/siege-2.70/lib'
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70/lib'
make[1]: Leaving directory `/home/bruno/Downloads/siege-2.70/lib'
Making install in src
make[1]: Entering directory `/home/bruno/Downloads/siege-2.70/src'
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70/src'
test -z "/usr/local/bin" || mkdir -p -- "/usr/local/bin"
/bin/sh ../libtool --mode=install /usr/bin/install -c 'siege' '/usr/local/bin/siege'
/usr/bin/install -c siege /usr/local/bin/siege
make[2]: Nothing to be done for `install-data-am'.
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70/src'
make[1]: Leaving directory `/home/bruno/Downloads/siege-2.70/src'
Making install in utils
make[1]: Entering directory `/home/bruno/Downloads/siege-2.70/utils'
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70/utils'
make install-exec-hook
make[3]: Entering directory `/home/bruno/Downloads/siege-2.70/utils'
/bin/sh ../utils/mkinstalldirs /usr/local/bin
/bin/sh ../libtool --mode=install /usr/bin/install -c bombardment /usr/local/bin/bombardment
/usr/bin/install -c bombardment /usr/local/bin/bombardment
/bin/sh ../libtool --mode=install /usr/bin/install -c siege.config /usr/local/bin/siege.config
/usr/bin/install -c siege.config /usr/local/bin/siege.config
make[3]: Leaving directory `/home/bruno/Downloads/siege-2.70/utils'
make[2]: Nothing to be done for `install-data-am'.
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70/utils'
make[1]: Leaving directory `/home/bruno/Downloads/siege-2.70/utils'
Making install in doc
make[1]: Entering directory `/home/bruno/Downloads/siege-2.70/doc'
make[2]: Entering directory `/home/bruno/Downloads/siege-2.70/doc'
make install-exec-hook
make[3]: Entering directory `/home/bruno/Downloads/siege-2.70/doc'
make[3]: Leaving directory `/home/bruno/Downloads/siege-2.70/doc'
test -z "/usr/local/man/man1" || mkdir -p -- "/usr/local/man/man1"
mkdir: cannot create directory `/usr/local/man/man1': File exists
make[2]: *** [install-man1] Error 1
make[2]: Leaving directory `/home/bruno/Downloads/siege-2.70/doc'
make[1]: *** [install-am] Error 2
make[1]: Leaving directory `/home/bruno/Downloads/siege-2.70/doc'
make: *** [install-recursive] Error 1