Installing kernel headers (prior to `make install_headers`)

I'm trying to accomplish this

 make ARCH=x86_64 INSTALL_HDR_PATH=/opt/cross/x86_64-linux headers_install

But with the 2.6.9 kernel tarball. It does not support the make target headers_install and I'm relatively new to this. What do I do? What does headers_install actually do?

I'm trying to build a cross compiler for this particular version but I am also running everything on a CentOS 4.8 64-bit (that happens to run 2.6.9, specifically 2.6.9-89) can I copy the headers from the host?