if you did a full install..or installed the source, you should have a /usr/src/linux-2.4.5
what you need to do in that same directory is delete the linux link they have there pointing to the 2.2.19 directory for that kernel.
change the link to point to the 2.4.5 directory like this:
# ln -s linux-2.4.5 linux
Now just cd into /usr/src/linux first making sure its pointing to the 2.4.5 dir of course ( ls -al ) and start your compile of your 2.4.5 kernel...