You need to install the Kernel-Source package but it's not on the CD-ROMS! However, you can download it from here (assuming the kernel is the same build as mine)...
Not sure if you know how to install RPMs so just ignore this if you do. Save the RPM into a folder (e.g. /home/me) and then open a Terminal Window. Use the 'cd /home/me' command to switch to this folder. Then run this command to install the package ...
rpm -U kernel-source-2.4.20-6.i386.rpm
You should now be okay.