How it works (at least for me)
Follow the instruction and it should work. I had the same problem and now everything works great.
1./ Reinstall Mandrake 9.2 from scratch (to be sure the pb wont come from what you've been trying till now... i know by experience it can screw everything...)
2./ download the source kernel (for me it was: kernel-source-2.4.22-10mdk.i586.rpm, just google the one that corresponds to your kernel... might be the same !)
3./ install the source kernel:
rpm -ivh kernel-source-2.4.22-10mdk.i586.rpm
4./ control that you have it now:
rpm -qa | grep kernel
this should give you 2 results: the kernel and its sources
5./ quit X if you were in it, and run the Nvidia installer:
with the following options:
sh NVIDIA-Linux-x86-1.0-4496-pkg2.run --kernel-include-path=/usr/src/include
It should compile smoothly !!!
Try startx... and enjoy !
Hope this helps...