You dont want to install from the cd unless you have the latest version of slackware 9.1.
Also, you can only do
Make menuconfig
make dep
make bzImage
When your IN the source directory. if its being all funky. get the source from
www.kernel.org and get your kernel source from there.
Like example
You can unpack the source but cant run the script.
cd /your/kernel/source/directory/
then try running the commands for there