Looks like you're using SMP kernel, aren't you? If so, what you need is install this package: kernel-smp-devel-2.6.15-1.2054_FC5.i686.rpm. The file is on your CDs/DVD. Or you may get it here: kernel-smp-devel-2.6.15-1.2054_FC5.i686.rpm
Good luck!
You need to install kernel-devel package and then check if /lib/modules/<kernel-version>/build exists and symlinks to /usr/src/kernels/<kernel-version>.