You have to make sure that a proper compiling environment for your kernel is installed. This can be done in several ways, but I find the easiest is to
Code:
# aptitude install module-assistant
# m-a prepare
where that last command will install the packages needed, perhaps in several stages.
Once that is done, the installation in /media/cdrom,
should succeed -- it did for me using Debian testing (Squeeze) for the 2.6.32 kernel. Note that the kernel modules will, after the first install, be recompiled automatically for newer kernels via the DKMS mechanism. See also the /lib/modules/<your 2.6 kernel>/updates/dkms directory.
Have fun!