These are the all the files/folders that I have in my kernel 2.6.6 source.
arch/, crypto/, fs/, ipc/, MAINTAINERS, net/, scripts/, usr/ COPYING, Documentation/, include/, kernel/, Makefile, README, security/, CREDITS, drivers/, init/, lib/, mm/, REPORTING-BUGS sound/
The Makefile I am pretty sure is the one that creates the menuconfig. I am not exactly a guru on linux, but I think that is what you need.
Check that you are root and that you have permission to access all the files (although i don't see how you wouldn't as root). and try again.
Check you have all these files and then try again. check the md5sum of the file against the expected value if the download site provides it.
hope that helps