Where can I find the Kernel Headers?
 

in order to compile a vpn client, its installation program asks for the "kernel headers" and mentions that they should be in a directory like "/usr/src/linux*". well ... i cannot find such a directory...
i am running Puppy Linux from Live CD. i hope i can access them all the same.
can someone tell me where i can find these files?

You have to install the headers first; use your package manager to help you find them. The headers you install need to match the kernel which is running.

Since you are running from LiveCD, the header install will essentially be temporary (until reboot) - rather funny really. If you want it to be permanent you will need to remaster the CD. Why are you building software from a liveCD rather than from a permanent installation?

Have you read Barry Kauler's instructions?

http://www.puppylinux.com/development/compilekernel.htm

You get the devx_xxx.sfs to load by selecting it with the bootmanager (from the menu).