I got that problem too.
I guess you should try downloading the source tarball(linux2.6.11) from
http://www.kernel.org, because the kernel-devel package installed by yum is incomplete. You can also download the kernel SRPM(not included with the installation CD) from redhat if you want to use its patches.
But I happened to see(unsure?) that the kernel won't be built under gcc4(which is installed with FC4), and I have tried many ways to build the kernel(mainly to include a ntfs module), and haven't succeeded anymore. Maybe we should choose FC3 or some other distro because FC4 is too new to our newbies.