You don't use kernel-headers on RH, you use kernel-source instead.
After finding and installing the kernel-source-2.4.20-13.9 package (note that the version has to EXACTLY match your running kernel's version), you will also have to configure the kernel sources -- this is something only RH users have to do. Fun, isn't it?
Anyway, look around in /usr/src/linux-<version>/configs for a config file that matches your running kernel (or, there might well be one in /boot; look there too). Copy it to /usr/src/linux-<version>/.config, then cd into /usr/src/linux-<version> and run make clean oldconfig dep
-- the clean may not be necessary, but oh well. After doing that, the sources should be configured -- try the installer again.