It means you need to install the kernel source files. I assume you have the RH9 cds. It should be on one of those.
Also if you go to Add/Remove Applications there might be an option in there to install the kernel source files. I haven't used RH9 in a while so I don't rmember if it has the add/remove applications program in there.
If you don't have the CD you can download them from one of these 2 places depending on the version of kernel you are using. To determine your exact version type in uname -r
just search for the "kernel-source" on those 2 pages and install them using the command rpm -ihv filename.rpm