I had similar problem and I could have sworn I'd done it properly (a good few times) until I noticed a very small error when making the menu.lst file with vi. I kept entering on the 4th line 'kernel /boot/bzimage quiet' incorrectly,it shoud be 'kernel /boot/bzImage quiet' the difference being 'Image' in 'bzImage' has a capital 'I' not lower case as I had been doing it.Problem fixed!