Looks like you need the 2.6.9 kernel.
Ok, its not hard.

First go to /usr/src/ as root.

Delete the linux "folder" (acually its a shortcut) if its there.

Go to kernel.org and click F

The latest stable version of the Linux kernel is: 2.6.9 2004-10-18 22:10 UTC F V VI C Changelog
Open that up and put its contents into /usr/src note the name of the folder.

Open up a console and become root and type

cp -s /usr/src/folder name /usr/src/linux

(if that doesn't work, reverse the folders, /usr/src/linux /usr/src/folder name)

now retry the install.