I am installing a software product. It is now telling me to make
a copy or link from my kernel file to /boot/vmlinuz-2.2.16-smp.

How do I do that ???

Your kernel file is usually the one pointed by /boot/vmlinuz. I don't know if you use X or console... Using console:
cd /boot
ls -l
There will be something like vmlinuz -> vmlinux-2.2.20. You need to make a symlink to teh kernel you use, so it may be a symlink to vmlinuz. To make a symlink use
ln -s vmlinux vmlinuz-2.2.16-smp
The link is ready.

NOTE: *-smp kernels are usually for machines with many processors. I'm not sure if it's important in your case, but just to let you know...

Thank you very much. I was actually in Warsaw last year on vacation...

Hey, in the case pointed by Mara you'll have a nested symlink (symlink to symlink, ...) if there is already an entry vmlinuz->vmlinuz-some.version, by creating the symlink prescribed above you'll get
vmlinuz-2.2.16-smp->vmlinuz
vmlinuz->vmlinuz-2.2.20
hence you are making another symlink to 2.2.20 which you name 2.2.16-smp, you need to reverse it if you have new kernel and you want vmlinuz to point to your new kernel
ln -sf /boot/vmlinuz-2.2.16-smp /boot/vmlinuz
assuming after kernel compilation you put /usr/src/linux-kernel.version/arch/i386/boot/bzImage (or zImage) to /boot and renamed it to vmlinuz-2.2.16-smp
Confused?
P.S. And you can ignore everything I just said - I am sluppy on reading stuff , go with Mara's suggestion

Yeah, you kind of confused me, but thats not hard sometimes.
I went with Maras suggestion and it is working great....

Thank you, though.

I told to make a symlink to symlink because it'll be automatically changed when the kernel is changed. It will be always a symlink to your current kernel.
NOTE: This may not work in case you change your kernel to 2.4.x. But with 2.2.x it should be OK.