Getting the Linux source (you didn't specify *which* source, or your host system), running "make menuconfig" and "mkinitrd" are all very good starts.
But there are other things you need to do (including, of course, partition and format your root disk!), so we're not sure what necessary steps you have or haven't done.
Please find a good "Linux kernel build how-to", and see if you've missed anything.
Please post back with any specific questions or problems. For that matter, please post back if everything worked OK!
Here are a couple of good examples:
'Hope that helps .. PSM