When you install this rpm it fails to complete and apparently does not link the new modules to the proper directory. You have to do a ln -sf 2.0.36-1 2.0.36 or else you have a boot up error unable to open 2.0.36 modules.dep and its down hill from there. I wasted many hours with this and luckily I found help on usenet.
Are you sure it was "kernel-headers-2.0.36-1", not "kernel-2.0.36-1"? Why did you chose Component "rpm" instead of "kernel"?
I performed the ln -sf 2.0.36-1 2.0.36 in the /lib/modules directory. I performed the RPM from /tmp. If I did not do the ln the OS could not find the proper modules.dep file.
On the next reboot, rc.sysinit should do ln -sf /lib/modules/2.0.36-1 /lib/modules/preferred and then depmod -a will be run on the path /lib/modules/preferred That's what is supposed to happed with Red Hat (and Red Hat only) kernel-* rpm's. Please reopen this bug if a reboot does not create a /lib/modules/preferred symlink.