You're going to need to install the development packages from your distro. In Mandrake, open up their Software Manager program and install kernel-source (any 2.4 version should work), and hit install or go or whatever they call it. Give it the CDs it asks for, and tell it to go ahead and install the dependencies (these dependencies are actually what you want; they're things like make and gcc, the compiler).
Once you've done that, there's a newbie help file on kernel compiling somewhere at <shameless plug> LinuxNewbie.org </shameless plug>
Ah, here's one that looks promising: http://www.linuxnewbie.org/nhf/Compi...d_Systems.html