The only reason to use "make install" in a 2.6 series kernel is if you have lilo installed to suit the kernel makefiles. Otherwise you only need "make xconfig" (or your choice) && "make" && "make modules_install" per Linus instructions in the README file that's with the kernel source.
I think you know, but the only reason for an initrd.img is if you need a module to load the kernel that you don't have built into the kernel, such as support for the / filesystem.
I believe that if you compile your / filesystem into your kernel, and you don't issue "make install" then you won't get that message. And afaik, there is nothing in "make xconfig" to do with an 'initial ram-disk' option.
I just compiled a fresh 2.6.12.5 tonight, to remove something that doesn't work, and I use
Jesper Juhl's quick guide, minus his System.map symlink stuff at the bottom. It's not necessary, seeing as how the kernel already looks three places for System.map. And the one time I tried that, it was still pointing to the original System.map because rc.local hadn't run yet, so it gave me problems. I like his guide, though, for I can copy and paste his commands, just changing my kernel version number in his lines.
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