The commands that you refer to are stored in /sbin. So, to execute them, you will have to do one of two things:
1) Refer to the command with the path explicitly (i.e. #/sbin/lsmod will execute lsmod)
2) Instead of just typing "su", try "su -". It will load root's environment variables, including the path. Then, when you type "lsmod", it will look in root's PATH for the command.
As for eth0, it's letting you know that something is wrong with your network connection. Make sure your network cable is plugged into your network card. If this doesn't fix the problem, post again with more symptoms.