The message usually means that there are no modules - maybe you compiled them in? Or something went wrong.
If you boot into the new kernel, everything works, and you see modules with lsmod, then maybe none needed to be included in the initrd?
Just for information - "Why we compile kernel?Say I have two kernels now- 2.6.33 and 2.6.29. Whats the difference?
That's two questions.
1. Why compile:
You do not normally compile your kernel, you normally let someone else do this for you. In fedora, you would use yum to upgrade the kernel.
You compile your own if, by doing this, you know you can get something not provided in the distro kernel. You may want it to be very lightweight, or you may want to use an unusual setup which needs a custom configuration.
2. Whats the difference:
You update a kernel in order to take advantage of bug-fixes. Newer kernels have been altered or patched against vulnerabilities for example, make them run better, or to support additional functionality.