OpenVPN question - kernel module error message

I am trying to get a simple vpn setup to and from my Gentoo linode. I emerged the Openvpn software without trouble on my node and on my home client.

The Openvpn site says I have to do this:

TUN/TAP Setup:

 If you are using Linux 2.4 or higher, make the tun device node and load the tun module: 
mknod /dev/net/tun c 10 200 

modprobe tun 

However, unfortunately I get this error when modprobing the "tun":

www root # modprobe tun
modprobe: Can't open dependencies file /lib/modules/2.4.26-linode27/modules.dep (No such file or directory)

I am guessing that this is some module that was not configured into my pre-built kernel? Am I hosed? Is this something that I could address by getting the kernel sources and trying to build the needed modules? Anyone running Openvpn that could help me out?

Thanks much in advance,

Clapper