The only reason to use "make install" in a 2.6 series kernel is if you have lilo installed to suit the kernel makefiles. Otherwise you only need "make xconfig" (or your choice) && "make" && "make modules_install" per Linus instructions in the README file that's with the kernel source.
I think you know, but the only reason for an initrd.img is if you need a module to load the kernel that you don't have built into the kernel, such as support for the / filesystem.
I believe that if you compile your / filesystem into your kernel, and you don't issue "make install" then you won't get that message. And afaik, there is nothing in "make xconfig" to do with an 'initial ram-disk' option.
I just compiled a fresh 126.96.36.199 tonight, to remove something that doesn't work, and I use Jesper Juhl's quick guide
, minus his System.map symlink stuff at the bottom. It's not necessary, seeing as how the kernel already looks three places for System.map. And the one time I tried that, it was still pointing to the original System.map because rc.local hadn't run yet, so it gave me problems. I like his guide, though, for I can copy and paste his commands, just changing my kernel version number in his lines.