i've never used a 2.6 kernel before so i'm not exactly sure what the problem is. to my knowledge, firmware loading support does not depend on any other modules.
i went ahead and checked my .config file (actually, used make menuconfig) for my 2.4.23 kernel and found this under:
Library routines --->
there was this entry:
< > Hotplug firmware loading support
for me, i selected this option so that it looks like:
<*> Hotplug firmware loading support
meaning it would (and did) get compiled as a kernel module. from my understanding, such modules get loaded dynamically when they are needed. or, they can be loaded manually with modprobe. i read a bit further and noted that i did not have the option of building the module into the kernel. i only had the option of compiling as a loadable module.
perhaps this is to say that you need to have the option of "loadable module support" selected as a kernel compile option? for me, i have these entries in my config file:
Loadable module support -->[*] Enable loadable module support[*] Set version information on all module symbols[*] Kernel module loader
i don't know if this helped. sorry.