Well have you chosen to install the kernel source when you first installed Mandrake?
the source will be in:
if you can't find it there, then you will need to install it. You should find it in the Mandrake CD. Also if you want the latest kernel, then goto www.kernel.org,
and download the latest one from there.
should 2.4.19 I think.
Also to learn how to compile your kerenel, just search through the forum, because I saw a lot of posts about comiling kernels.
p.s. don't download the 2.5.* these are non-stable ones.