make dep have been obsoleted a long time ago (since Linux 2.6 IIRC).
Of course you need to build and install the modules every time you compile a kernel.
to know the available targets for "make" type "make help" in /usr/src/linux-<version>.
Just follow Pat's instructions: see in the installation media the file /source/k/README.TXT, but in addition do not forget
make modules &&
make modules_install
Or if you want more details, see these
instructions provided by Eric Hameleers.