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directory not found: /home/xiaohao/hector_quadrotor_tutorial/src/msg

Your directory structure is most likely messed up. Similar to the issue #q67415. ROS uses a "workspace" concept when building source code with it. I suggest you go through the basic tutorial set once again (no worries I've gone through them multiple times in the past) to familiarize with the concept.

Particularly with your setting I would assume directory structure including the problematic msg folder would look something like (catkin_ws can be named anything you like):

/home/xiaohao/catkin_ws/src/hector_quadrotor_tutorial/msg