I think you already have them installed, I dont think you can make a initrd.gz otherwise but check..
Code:
titus:~ $ ls /lib/modules
2.6.33.4-smp
titus:~ $ ls -al /etc/rc.d/rc.modules
lrwxrwxrwx 1 root root 23 2010-05-31 15:42 /etc/rc.d/rc.modules -> rc.modules-2.6.33.4-smp
Maybe you didn't get all what's needed for your initrd, look here on Alien-BOB's site...
http://connie.slackware.com/~alien/tools/
..try his script.."mkinitrd_command_generator.sh"
/Håkan