are you using Slackware and a Slackware Kernel? There's always something buggy in Slackware's kernel about make modules /make modules_install.
If not, your kernel tree is probably corrupt.
Just get another proper one on www.kernel.org
uncompress it somewhere then move it to /usr/src/ and make sure it will not replace your dfect kernel. If you want to save your actual kernel config, just copy .config that is in the first directory of your kernel tree (/usr/src/linux if you did the simlink you should).
Oh and I just looked closer to that error msg. You don't have a link between /usr/src/linux and /usr/src/linux-2.4.20-18.9, don't you? Just be sure to create a symlink called linux in /usr/src leading to your kernel tree.
Something like ln -s /usr/src/linux-2.4.20-18.9 /usr/src/linux. I saw some bugs about this missing links, this is not suppose to cause problem, but...