I do not use centos but that guide is meant to be a kinda quick start and maybe you lack some dependencies.
http://www.kroah.com/lkn/
right hand click and save targets to download the pdfs
leaping ahead try chapter 2 first to see if you have everything...then start on the other stuff.
2) have you ever build a kernel before?
now is the time to make a backup of your /boot/config file....the actual file you will use inside your kernel source will be called .config....confusing eh?