This was like a week ago, but I was trying to compile a new kernel (2.6.x) or something like that. So I went through all of the steps to compile it and then I rebooted but I got a message: Kernel Panic - Cannot mount to unknown block (0, 0) So what did I miss? Do I need to do something with init_rd?

See if this helps:

http://kerneltrap.org/node/2318

IMHO the best documentation for compiling your own kernel is in Gentoo Manual.

The best way to compile a kernel for a Debian distro is to download the kernel source package from your distro's source repository and use dpkg-buildpackage, just like with any other software. After all, it's just software.

Don't forget you may need to update your modules on your rootfs.

Have a look at the "kernel-package" package, which provides make-kpkg. That tool allows you to build Debian packages from "fresh" kernel source. Remember to build the initrd image (--initrd option to make-kpkg).

There is an issue with more recent installations preventing the initrd image to be properly created: Debian bug #528373