Plbowler, I'm assuming you have a stock kernel (ie you haven't compiled your own) so you can get the headers from your distributor. They may even be on your CD set. To find out your kernel version, you type
uname -r and then you get the EXACT SAME headers. For example, if the output of
uname -r was "2.4.20-<your distro>" then the header package you'd be looking for would be something like "kernel-headers-2.4.20-<your distro>". So have a look for that. You may need to make a symlink or tell the installer where to find your headers with a command line option. From there you should be able to manage. If you can't check the tutorial in the software forum. There's no point retelling a story that's already well documented.
Jsmarshall85, I've sort of answered your question above. The short answer is "no" that is NOT the right package. In fact, you don't actually need the kernel source. All you need are the kernel HEADERS which will be a smaller file. They are just files with the extension ".h". The package you want is something like "kernel-headers-2.4.20-4GB-athlon.rpm". I don't use rpms so I'm not entirely sure if that's what it's called but it will be something similar. It should also be on your CD. If not
www.rpm.org and
www.google.com are your friends.