Ok I somehow cornered the problem and found a solution (uff
First, why did update-grub not find the new kernel image? Well after compiling the kernel with make && make modules_install it is "obviously" not enaugh to just copy the bzImage somewhere in the boot directory, no you got to type make install. Then something happens which makes update-grub recognize your kernel image.
Second, why did the kernel not find my modules? Well, actually this is something I do not understand fully *g*. It is not enough to compile ext3 support hard into the kernel, of course you have to do so with your IDE support, too. After that was done everything worked fine, without the initrd.img. So something does not work with mkinitramfs. There seems to be another command, namely mkinitrd, for making initrd s. Maybe I have chosen the wrong command, who knows. But on my machine there was no mkinitrd, even after (maybe I screwed up here) installing an initrd-tools.rpm.