Quick Q's (Directory Woes on Live CD)

Hello everybody, this is my first post, here hope to stick around for a while. Anyways, I've started using Knoppix and enjoy it thus far, although getting my wireless net card took a while to configure.

Anyways, I'm trying to install a VPN client, and I was having trouble compiling it. Everything is going fine configuring it, but then it asks for the Linux kernel directory. It suggests several locations for different distro's, but it made no mention of Knoppix. My question is, where would the Linux kernel be located? The default is usr/src/linux, but that doesn't work. I'm running Knoppix from CD, so I don't have a partition or directory made on my HD for it.

I need to know where the linux kernel directory would be from the live CD. I am using the Linux 2.6 kernel at the moment, and just need to know where this directory is so I can point the program to it!

Finally, if I get this program up and running, will it be saved if I have Knoppix save my configuration files to my USB thumb drive? Thanks in advance for the replies.

if i am not all wrong the kernel source is removed to save space (it is 100Mb+ unpacked).
if you make a hdinstall you can ad it easily but from CD... not as easy. sorry i have no remedie for you, perhaps someone else,