What Andy is saying is that you need to install the Source files for your kernel that you are running. In this case for your 2.4.20 kernel. If you installed it from CD, then the kernel source should be on one of those CD's. If not, then you need to download and install it from the net.
The Source code is required when C programs are written or that need to be recompiled for a new version of Linux Kernel.
Without the kernel source, you cannot recompile the Nvidia Drivers.
I hope this cleared this up a bit....