Looks like you need to recompile your kernel. CONFIG_NET_KEY is found under "Networking --> Networking Options --> PF_KEY sockets
I couldn't find CONFIG_KLIPS ion my linux-2.6.13 source. Maybe you can get by with just CONFIG_NET_KEY.
Also, I am not saying this is the solution to your problem, perhaps there is still more for you to do, but your error message makes it clear that ipsec needs this option in the kernel to work