Make sure you've downloaded kernel sources.
If you didn't build the kernel by yourself but used a precompiled rpm (or any other) package instead, download the right sources package that matches you kernel version.
You must have a symlink under /usr/src/linux that points to your sources folder (e.g linux -> linux-2.6.x.y).
If you never used the sources to build the kernel (so you've just unpacked them) make sure to do a
# make defconfig && make prepare && make prepare scripts in the /usr/src/linux directory before making the driver.
You should assure that the defconfig that ships with your Linux distribution includes the CONFIG_NETFILTER option. If not ( because you used the vanilla kernel tarballs, for example) try replacing the "make defconfig" with "make allyesconfig"
Download and unpack the lnlb source tarball, then simply do the annoying
# make and # make install stuff.
This will install lnlb.ko and lnlb_mod_default.ko modules (my suggest is to make them load at boot time via modprobe or configuring your modules.conf).
Once module are loaded you can use the shipped lnlbctl tool to create new virtual cluster interfaces.
You can get enough help simply typing # lnlbctl on a console and read the few self-explicative operations.