It's part of the .tar.gz install for NVIDIA_kernel.
You have to edit it, then install the NVIDIA_kernel, and you have to do it by .tar.gz (actually, SRPM might work, but I've never tried that).
In order to be able to compile the .tar.gz NVIDIA_kernel, you need to have installed your distro's kernel-source RPM (make sure the version of kernel-source that you install matches the output of uname -r). With Mandrake 9, that means you need CD 2 and 3, because kernel-source is on 3, and it requires ncurses-devel, which is on 2. It probably also requires other packages (a compiler and the make program, at least), so if you haven't installed those (the development "stuff" is what the installer calls it), then you might want to restart the installer, tell it you're doing an upgrade, and install most of the development stuff.