Assume openssh_5.1p1.orig.tar.gz
The file INSTALL, line 111 : /usr/local/sbin/sshd
( "prefix"/sbin/ )
.. Or may be checkinstall forgot the file ( it can happen )
.. then just do # make install
Possible source for more information : the file rules in
openssh_5.1p1-8.diff.gz .. when you apply the patch :
openssh-5.1p1/debian/rules
http://ftp.de.debian.org/debian/pool....1p1-5.diff.gz
http://packages.debian.org/lenny/openssh-server
.....