You following a tutorial maybe ???. If so, get a newer one that describes 2.6 kernels. If you need 2.4 specifically, stay with what you have already.
Also try and get a Ubuntu specific one - their build procedure is quite different to a "vanilla" kernel. Using their (debian derived) tools would make the most sense to get it working, but won't necessarily be what you want to do.
Ubuntu also don't ship the compiler tools you'll need by default - I think you'll need to go get build-essentials and the headers for your (current) kernel.