It's not bad, it means that perhaps you've not installed the kernel source. Look in /usr/src/ for a source directory for your kernel, if it is there after all then soft link it to /usr/src/linux.
You'll find you need kernel sources if you ever wish to change the features of your kernel, or if you compile kernel modules. For this reason it might be prudent to install a copy of the sources for your kernel, which are probably packaged up at the same place your kernel is. Alternatively, you could obtain the vanilla sources at
www.kernel.org, but your running kernel might be different to these.
Chris.