I am using ubuntu version is 3.2.0-67-generic-pae. when i execute mmake menu config i am getting the following error.

make: *** No rule to make target `menuconfig'. Stop.


I need to set/remove cap_net_raw capability for a particular user for ping command. I tried changing capability.config file with user name and capability but does not work. when I remove capability it is removed for all users.

You don't say exactly what you did. The correct procedure is:
1) download kernel source into you home directory
2) unpack it
3) cd into the linux-3.2.0 directory
4) acquire or create a .config file. You can copy the existing config file from /boot or give the command make defconfig.
5) give the command make menuconfig.

The error indicates that the necessary builds scripts/makefile are not in the current directory.

1) Have you even downloaded kernel sources?
2) Have you looked at other methods, besides recompiling the kernel?

There are various man pages, would be a good start:

https://linux.die.net/man/7/capabilities

In addition, you should notice the hidden file that is what is ultimately populated by menuconfig. You should make backup copies of this file, every single time you change it. (Or, make one local copy of it and check it in to git version-control.)

This way, when you inevitably fsck it up ... ... no sweat. You just [carefully set the "busted" file aside and ...] grab the previous copy.

And, if you need to know definitively what's different between one and the other, diff is your friend.

Be aware, also(!) that make distclean will erase this hidden file! This make-target does many things that are very useful (I routinely use it before recompiling any kernel), but you must be sure that you do not lose the settings-file ... that is to say, that you can get it right back. Rename it ... make distclean ... then rename it back. Q.E.D.)