That means it's a symlink to a non-existent directory, ls -l /lib/modules/2.4.21-99-athlon/build should return something like /lib/modules/2.4.21-99-athlon/build -> /usr/src/linux-2.4.21-99-include/athlon
in the case of SuSE 9.0 in this example. It's the directory e.g /usr/src/linux-2.4.21-99-include/athlon that's missing, perhaps your kernel sources are missing, but I can't quite say as it depends on how RedHat organises their stuff.
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