adding own module to kernel
 

I have written some netfilter modules and want those module to be loaded
automatically first whenever i boot that kernel. i actually include my
netfilter module nf1.c in kernel directory and make changes to Makefile. when
i compile kernel module is created but is not installed?

I don't know if this is exactly what your asking,
but I would suggest:

type:
modprobe "TheNameOfTheModule"

this will load the module.
After rebooting, the module will most likely not be loaded anymore.
You could maybe create a simple script that loads the module and put it in ~/.kde/startup (assuming your using kde) (not sure if thats the correct directory...I'm away from my box right now.)
There's surely a better way to get the kernel to do this at boot, but I'm not sure how.

Hope that helps

Cheers