That message is ok, most of us get it - it just means that it didn't have the right module for your kernel. If you continue on with the install, it will ask you if it can look for one on the internet, but probably won't find one. After that it will tell you that it will compile a module for you - which is really ideal anyway. But as Wynd says, you'll need the kernel source code installed in your system. Some distros put it there by default, others do not. Slackware 9 doesn't install it, but 9.1 does.
It is usually in the /usr/src/linux-2.x.x directory, where x.x is your kernel version. It also should have a symbolic link from /usr/src/linux
If you haven't got it, go to a slackware download site and get it.