Thanks in advance for your help--this is quite frustrating. I have recompiled my kernel to include module unloading yet STILL this error persists:
#lsmod | grep acx_pci
acx_pci 145188
# rmmod acx_pci
FATAL: Kernel does not have unload support.

Here is a excerpt from my kernel .config:
...
CONFIG_MODULES=y
CONFIG_MODULES_UNLOAD=y
CONFIG_OBSOLETE_MODPARAM=y
#CONFIG_MODULE_SRCVERSION_ALL is not set
CONFIG_KMOD=y
...
What is going on here? If anyone has any idea please let me know! Thank you.

well, sorry to ask, but how have you recompiled your kernel? I mean, wich steps/commands have you done? And what is your new kernel version?
The only reason I could see why you get this msg is that your recompilation went bad.

Well, I just started using gentoo linux (its been about a year since I have been using linux) (with gentoo_sources version 2.6.11-gentoo-r8), and I followed the steps outlined on their website which consists of:
# make menuconfig
(included unload support for modules)
(saved kernel configuration)
# make && make clean
(says bzImage is ready)
cp arch/i386/boot/bzImage /boot/kernel-2.6.11-gentoo-r8
cp System.map /boot/System.map-2.6.11-gentoo-r8
cp .config /boot/config-2.6.11-gentoo-r8
then I proceeded to modify grub's config file to add an entry for the new kernel

I know that I'm using the new kernel because I removed support for other hardware and it quit working.

Hope you see something that I don't--and thanks for the reply!

well, you are suppose to do a "make modules_install" at some point, as it is not included in "make". But I doubt this is your problem...

Are you able to remove other modules? And what is "acx_pci"? Some modules can't be removed, but usually you get a "in use" error msg, nothing about missing unload support... but maybe the error msg is wrong?

Acx_pci is a module for my D-Link wireless card and I had to compile it myself, as it was not included in the 2.6 kernel. I tried removing all the other modules in the kernel as listed by modprobe -l, but they all gave me the message "Error: Module i915 does not exist in /proc/modules." I guess that's because I didn't insert them myself, support was included for them in the kernel (thats why lsmod only lists acx_pci and none of the others). I wish I had another piece of hardware to test an inserted module, but I don't think I have any others that require an inserted module. On another forum someone said that the kernel has really vague error messages, that in fact its crashing for another reason other than the lack of unload support. Of course, that's why I'm out here polling the audience ;-) -- trying to find out what the "other reason" might be. I was under the impression that even if the module is in use, you could force remove it, as long as you enabled support for that as well, however, in my kernel config that option is entirely absent! I don't think it is in use because I make sure that I do a ifconfig wlan0 down before attempting to remove it. I think what I might try is emerging the vanilla sources and see whether that distro will behave in the same manner. Btw I did a "make modules_install" and nothing happened so your instincts were correct.
Thanks again for the assistance!

Oops I just realized there was a typo
Error: Module i915 does not exist in /proc/modules.
Should be generic--
Error: Module xxxxx does not exist in /proc/modules.

Another interesting thing I noticed is that before I run the start_net script to insert the card modprobe -l shows the acx_pci card in existence, however lsmod does not. I guess I don't completely understand the difference between the two commands.
Btw the website that described to me the process in which to install my card is:
http://www.houseofcraig.net/acx100_howto.php
I don't know if this will give you a little more of a context from which to problem solve, but I hope it helps.
Thanks yet again!