I am trying to compile linux with with NFS root support. I don't find the option Root filesystem on NFS in menuconfig. I manually append CONFIG_ROOT_NFS into .config and built the kernel which didnt work? Any ideas please?

for this you need:
under Networking --> Networking options: IP: kernel level autoconfiguration and one or all of the three next things which become available, when you check this
and
under Filesystems --> Network Filesystems <*> NFS file system support (not as a module!)
if you check this as built in - this will become available a few lines beneath:
[ ] Root file system on NFS (NEW)
Hope this is what you wanted!
I just checked these things on my Kernel 2.6.15 - may be a little different on other kernels...
If you look for something like this again - try the search which is available in menuconfig just like in man pages: press CAPS and / and you can enter your search term ( I think it is called CAPS my english is leaving me here - its the key you press to get CAPITAL letters)