Hi,

You can see in the file Makefile:

MODULES_DIR = /lib/modules/$(shell ./kernel-ver)/misc

You can try to create a directory in your path (which is writable) like:
mkdir /home/knoppix/modem

Then you can change the line like:
MODULES_DIR = /home/knoppix/modem/lib/modules/$(shell ./kernel-ver)/misc

You will have a module .o in your /home/knoppix/modem/lib/modules/2.4.20-xfs/misc/

But you'll have many other error, like modprobe error...

Once you've your module, you'll have to do:
insmod /home/knoppix/modem/lib/modules/2.4.20-xfs/misc/name_of_your_module.o

Then you've to verify but you'll have to do:
mknod -m 666 /dev/ttySL0 c 212 0
ln -s /dev/ttySL0 /dev/modem

I hope this could help you