I had the same problem. I did an "apt-get install linux-source-2.6.12"

I then set my /usr/src/linux symbolic link to "/usr/src/linux-source-2.6.12".

Then I hit another problem.

HOSTCC scripts/basic/fixdep
In file included from /usr/include/sys/socket.h:35,
from /usr/include/netinet/in.h:24,
from /usr/include/arpa/inet.h:23,
from scripts/basic/fixdep.c:115:
/usr/include/bits/socket.h:304:24: asm/socket.h: No such file or directory
make[1]: *** [scripts/basic/fixdep] Error 1
make: *** [scripts_basic] Error 2

"cd" to /usr/src/linux/include". Do a "ln -s /usr/src/linux-source-2.6.12/include/asm-i396/ asm".

then in /usr/src/linux, a "make menuconfig" works.