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It could be one of two things. First, you may not have installed the kernel source when you installed Mandrake. Most distro's don't install the kernel source by default, so you either need to go back to your CDs and find it or download it from Mandrake. Be sure that the source code you install matches your kernel version. The second possibility is that you did install your kernel source code, but a soft link wasn't made. Jump into your /usr/src directory and see if there is a directory called linux-VersionNumber (or something like that). If there is, then you can create a soft link with the ln command:
ln -s linux-VersionNumber linux
Once you've done that, if you run ls -l, you'll see a link named linux now pointing to your linux-VersionNumber directory