yes that means you didn't install it..
so either get it off your distros cd's, or use the graphical tool for packages in redhat and install development tools which will also require your distros cds, but its easier this way, if you can't find it, just type redhat-config-packages
in the terminal and it will fire up... (recommended)
or go to www.kernel.org
(or anywheres you find the source) and extract it to that folder...