It looks like you don't have the kernel-source installed, it's not part of the full install. The script does work(at least it did on my system) if you have the kernel-source installed.
If you have the 4 CD Slackware set, the kernel source is in CD #2 /slackware/k/
So from a command prompt.....
Of course you must be su
If you downloaded Slackware, you can get the source HERE
Then cd to the download directory