I am trying to use Endoshield in the same way but have recompiled my kernel with the relevant bits included I get the following when depmod is run:
depmod: *** Unresolved symbols in /lib/modules/2.4.18/kernel/net/ipv4/netfilter/ip_conntrack.o
If they are included, then you shouldn't need to load modules? The script is likely calling for modules, if iptables was compiled in, these modules won't exist. (i.e. may have to modify the script)
Ricardo