Ok, I ran the command as you said.
philippe:$ ls -la /lib/modules/2.6.20.3/build
lrwxrwxrwx 1 root root 23 2007-07-22 09:49 /lib/modules/2.6.20.3/build -> /usr/src/linux-2.6.20.3
Then, to make sure, I ran slapt-get.
root:# slapt-get --install kernel-src
Reading Package Lists... Done
kernel-src is up to date.
0 upgraded, 0 newly installed, 0 to remove and 0 not upgraded.
Done
I guess they warned us about using other kernels. But I'd still like to be able to compile stuff for the 2.6.20.3. It's a hobby of mine to learn how get myself out of problems.