Ok, Red Hat has a lot more stuff compiled as modules than I thought. Here is what I did to get everything working (I know it works cause I am writing this under my newest Kernel). I know everyone who reads this is going to be like "of course stupid" but I hate it when people say "ok I got it" without explaining what they did and I don't want to be hypocritical.
copied /boot/config-2.4.20-20.9 to /usr/src/linux/.config
Ignored the make mrproper.
-make mrproper would have reset .config to be generic and not system specific
instead of typing make config or xconfig or menuconfig I typed make oldconfig.
-make oldconfig takes whatever was in the .config in your toplevel and uses that as the basis then only prompts you for new stuff.
After that it was a simple following of the steps which .300WSM posted a link to. Rebooted and I got no bitching from RedHat about missing modules. Wine is now working perfectly. Now that I have a Kernel that actually speaks to Wine, my next goal is to get iTunes working under MOL or Wine. Thanx to everyone who posted to help me out. Linuxquestions.org is the reason I have been able to stay windows free since June.
If any n00bs like me need help (with this topic), email me at email@example.com
or post a new thread =)