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I have read in many places that I don't need to login as root in order to run this command, but the 'permission denied' message made me try it as root; that was successful.
I then suspected a problem related to lxdialog and/or ncurses, based on the above error message. I found in the documentation a discussion of problems with lxdialog that could be resolved by running 'make mrproper'. I tried that, then ran 'make menuconfig' again, getting this result:
The issue is that the permissions of the files in your /usr/src/linux-XXXX directory are owned by root. To fix it, as root do
chown USER:GROUP /usr/src/linux-XXX
Where USER is the user you want to compile with, GROUP is their group, and /usr/src/linux-XXXX is the actual path to the source. After that, you can do make menuconfig, make bzImage and make modules as a user. You cannot do make moules_install though.