Note that the packages on Codeplex labeled "deploymentfiles" like mojoportal-2-3-3-6-mssql-deploymentfiles.zip are already compiled and contain no C# source code, they are meant for production deployment not for use in Visual Studio and you do not need to build it at all.
Some files and folders get created or copied during running of the Setup/Default.aspx page. Files under /Data/Sites/[SiteID]/systemfiles are generated as needed assuming folder permissions allow them to be created. If you get errors it usually means your file system permissions are not correct. The Web Process user must have full control over the /Data folder so it can create files and folders as needed.
There is nothing wrong with the deployment packages nor the source code packages.
Hope it helps,