make  : *** No rule to make target 'modules'. Stop.
It means that the "Makefile" does not have a target to do a "make modules". For example, in kernel compilation typical targets are "dep", "modules", "bzImage" etc. So "target 'modules'" has nothing to do with "modules" directory.
As you did not actually mention what you were trying to do, I suppose you're trying to compile external Wlan modules. I suggest you check Ubuntu manuals on how to compile a custom kernel and external modules. I can help only with stock Debian procedures.
Also check www.google.com/linux:
"ubuntu kernel compilation"
"ubuntu external modules"
Those should provide you with a starting point.