You can basically get the sources from two places:
Official Mandrake Linux Kernel. In the SRPMS directory of any of the Cooker mirrors, you will find the following packages:
If you choose this option (recommended), just download the source RPM, install it (as root) and jump to the section called “Configuring The Kernel”.
The Official Linux Kernel Repository. The main kernel source host site is ftp.kernel.org, but there are a large number of mirrors, all named ftp.xx.kernel.org, where xx represents the ISO country code. Following the official announcement of the availability of the kernel, you should allow at least two hours for all the mirrors to be updated.
On all of these FTP servers, the kernel sources are in the /pub/linux/kernel directory. Next, go to the directory with the series that interests you: it will undoubtedly be v2.4. Nothing prevents you from trying the 2.5/2.6 version, but remember that these are experimental kernels. The file containing the kernel sources is called linux-<kernel.version>.tar.bz2, e.g. linux-2.4.21.tar.bz2.
You can also apply patches to kernel sources in order to upgrade them incrementally: thus, if you already have kernel sources version 2.4.20 and want to upgrade to kernel 2.4.22, you do not need to download the whole 2.4.22 source, you can simply download the patches patch-2.4.21.bz2 and patch-2.4.22.bz2. As a general rule, this is a good idea, since sources currently take up more than 26 MB.