The directions you linked to have a small error. Adding the ./ in front of scripts/driver-select alx is necessary to tell ubuntu that you want it to execute a command from the current directory, not from the default path.
sudo make install
sudo modprobe alx
The first permission denied error was probably because ubuntu didn't know what you meant by scripts/driver-select
The second one was probably because you forgot to run the command as root (using sudo).
If you ARE running a command as root, and still get a permission denied error, then there's usually something else going on. In theory, root has permission to do (almost) anything.