First, are you 100% sure you need to build a module? Is it something custom or very unpopular? Linode kernels are monolithic, and have a ton of common modules statically compiled in.
Browse or zgrep through /proc/config.gz, looking for the symbol of the module you're interested in. If it's there with "MODULEIDHERE=y", it's in kernel, and you just need to run whatever code wants it; and if the code is dumb, assumes it has to be a module, and "checks" for it by something in lines of lsmod | grep || exit or modprobe modulename || exit, remove that check.
Second, if the answer is "yes, I need it"... I guess you need to download the current source, 2.6.32.12-linode25.tar.bz2 at point of writing, and eventually reboot your Linode into that version.
