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I've just compiled my own kernel (debian), but I have no idea how to boot it. I don't know how to get to the grub menu. I've tried holding shift down at start up but it doesn't work! When I hold down esc it asks me what I want to boot?
I've read that I have to edit the file /etc/default/grub - but I can't since don't have it..
You are seriously short on useful information if you want some help. You indicate in your first post you are trying to compile a kernel on Debian which would imply you have Debian installed. Later you indicate you don't have a grub directory or a grub.cfg file so how would you boot anything? I think the best way to get help is to post more details on what you actually have installed on this computer and what if anything, you can boot. If you don't have an installed system you can boot, use any Linux Live CD and go to the site below, download and run the bootinfoscript and post the output here, a results.txt file. Instructions are in a link in the Description box:
Distribution: Debian Sid AMD64, Raspbian Wheezy, various VMs
If you have Debian installed already then I would suggest that rather than compiling the kernel then installing manually you made .deb packages like this: http://mapopa.blogspot.co.uk/2009/01/compiling-2.html
Then things like installing to the correct location and updating GRUB will be taken care of, as well as making it easier to remove the kernel if you've messed something up.
If you really want to compile and install manually then you're probably better off with a distribution where things are less automated.