Ok, in short... or as close to short as possible:
1. Make sure you have a directory named /usr/src/linux-2.4.<xx>-<yy>, where the number must be the result of the command
In the case of Mandrake 9.1 I think it is /usr/src/linux-2.4.21-1 (do not remember exactly). This directory name must correspond to the numerical number of the directory /lib/modules/2.4.<xx>-<yy> also correspondig to the result of uname -r (this will tell you the actual running version of the Linux Kernel.
2. In case you do not have them installed the sources in the directory said above (/usr/src/...), you will need to install them. Grab your installation CD's and (if memory serves me right) they should be in the second disk. Insert your cdrom, go to the directory where are sotred the RPMS (prefferably from a console) and look for a package named something like this: kernel-sources-<version number>.mdk.i386.rpm.
3. To install them, in a console type this, as root:
# rpm -ivh /mnt/cdrom/<path to rpms>/kernel-sources*
This command will install the sources in the correct place and place the build symlink in the /lib/modules/<kernel version>/ directory and the symlink to /usr/src/linux-2.4 in the source directory. Now try to compile your driver.
I hope this helps you. Pleas post what happened anyways.
Edit: Another dependency may arise relating to the glibc kernel headers, look for the package glibc-kernheaders* and install it.