Why you can't find configure
Perhaps, I have to link somewhere first like cd /path/to/somewhere?
Yes. The command ./configure means: Run a script called configure from the current working directory. You can see your current directory with pwd – usually it's your home folder (/Users/your-username/ or abbreviated as ~).
If you downloaded the software, perhaps it's at ~/Downloads/pureftpd.
That said, I don't think you should manually attempt to compile and install software on your system if you're not familiar with how the shell works. You'd be better off using pre-compiled binaries and installation scripts like Homebrew.
Why the Homebrew command does not work
Your problem with Homebrew stems from the fact that you mixed two commands — brew install and ./configure should not be in one line. You should rather execute the brew install --interactive … command first, then wait for Homebrew to give back control of the shell in interactive mode. Now you can run the ./configure command, since Homebrew will have changed the directory for you.
Note that you should be able to just run brew install pure-ftpd. That should install the server for you.
If you're having issues configuring the server to authenticate against your system users, check out this question.
