I am also having this problem.
I have just compiled the 2.6.9 kernel and module versioning is enabled.
I downloaded this kernel from kernel.org not from any packages as other people seem to have done.
It says that the /lib/modules/2.6.9/build/include/linux/modversions.h file cannot be found and goes on to say that kernel header files in /lib/modules/2.6.9/build/include/ might not have been configured.
Any ideas on how to fix this?