I don't think that kudzu will compile a kernel module on the fly.
If the module support for a type of device isn't enabled in the kernel, you will probably need to recompile the kernel.
For example, suppose you don't have any USB support compiled into the kernel. ( Perhaps, this was done previously for security reasons ) You will need to go through the process of re-compiling the kernel with usb module support enabled before you will be able to use kudzu to detect and install new USB devices.
If there is module support for the class of device you may still need to copy the source code for the particular device and run:
As always, please check the documentation that is in your system. For example, read through the relevant documentation that comes with the kernel-source.
Different distributions do some things differently, and even different versions of the same distro may have different methods.
Always check information you read on the web, or in books and magazines with the documentation included with the distribution.
Sometimes, while information that you receive may be correct, things may be done slightly differently. I find that it is usually best to do things the same way that the distro is set up. For example, if you have SuSE, editing the files in /etc/sysconfig/ and running SuSEconfig instead of directly editing many of the configuration files in /etc directly.
One idea is to check you web pages for kudzu on LFS (Linux From Scratch) sites. They compile and setup everything manually, so the documentation on exactly how kudzu works and setting up the configuration may be more extensive.