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If you insert a module manually with modprobe and you subsequently reboot, I don't think the module will still be loaded. If you want to load modules at boot, your distro should have an init script or something for this (I only really have experience with Slackware, so can't help here).
In the folder modules, I have files. So, do I need to add modprobe to some text file to be load some modul every time, I start on my computar? If so, which file is it?
in Ubuntu & RHEL5 i put modprobe in /etc/rc.local.
for Ubuntu i need to add a sudo before modprobe command line.
kernel read the rc.local in every boot.
If you were doing it from /etc/rc.local (probably not the the best way) then you should (TM) not need sudo, even on ubuntu; during boot /etc/rc.local is run as root.
It is not the kernel but the init process that runs the /etc/init.d/rc script that runs the /etc/rc.local script during boot.
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