I'm posting this under general, as there is no problem with hardware (just with building a driver module on one specific kernel) and it should most likely be independent from a certain distribution.
It is only related to the patched kernel image yo can install from http://www.anoubis.org, as I want to evaluate the anoubis security suite which seems to be the only Application Level Firewall for Linux currently available.

Therefore, running Linux Debian 5.0 ("Lenny") I ...

1) installed the packages
linux-image-2.6.32.10-anoubis-0.9.3.25.281.564_1_i386.deb
linux-headers-2.6.32.10-anoubis-0.9.3.25.281.564_1_i386.deb
anoubisd_0.9.3_i386.deb and
xanoubis_0.9.3_i386.deb (as instructed on the develeopers' page),

2) booted into the new installed kernel (2.6.32.10-anoubis),

At this stage a first attempt to install the NVIDIA driver failed, complaining about missing kernel sources, therefore I

3) installed the most appropriate kernel source package (linux-source-2.6.32)

4) extracted it (tar -xjf linux-source-2.6.32.tar.bz2) to /usr/src/linux-source-2.6.32,

5) symlinked that to /usr/src/linux.

6) fetched the new kernels config by "cp /boot/config-2.6.32.10-anoubis-0.9.3.25.281.564 /usr/src/linux/.config"

7) ran "cd /usr/src/linux ; make oldconfig && make prepare"

Finally I supposed to be ready to install the NVIDIA driver the usual way (invoking "NVIDIA-Linux-x86-195.36.15-pkg1.run" as root), but it failed with "unable to build nvidia.ko", and unfortunately there was no further hint inside /var/log/nvidia-installer.log.

As we need full 3D support, we still depend on this proprietary driver.
Therefore any suggestions welcome how to compile it in the given situation above would be appreciated!

The "source" required, is available, it seems :
http://www.anoubis.org/downloads/100...564_1_i386.deb
>> linux-headers-2.6.32.10-anoubis-0.9.3.25.281.564_1_i386.deb

Providing :
/usr/src/linux-headers-2.6.32.10-anoubis-0.9.3.25.281.564/// \
///<everything>/
..

1 members found this post helpful.

Well, I actually did install "linux-headers-2.6.32.10-anoubis-0.9.3.25.281.564_1_i386.deb" as reported above in the first step.

However, at the first attempt (between step (2) and (3) in my first posting) to install the NVIDIA driver it complained missing kernel sources. Therefore I proceeded with step (3), according to the usual workflow with the debian kernel images.

However, I was wrong. If one just manually does:
(albeit I supposed this, if necessary, to be the package install script's job...?) the NVIDIA driver can be installed without further needs indeed .
No debian kernel source package needs to be installed.
Thanks knudfl for pointing this out!