How are external kernel modules loaded?

[Andris Kalnozols <andris@hpl.hp.com>]

I'm running Debian squeeze on an amd64 system and want to use the
current version (4.5) of ipset instead of version 2.5 in the
stable release.

After doing the following steps:

  install ipset source from http://ipset.netfilter.org/install.html
  apt-get install linux-source-2.6.32
  cd /usr/src
  bzip2 -dc linux-source-2.6.32.tar.bz2 | tar xf -
  cd /usr/src/linux-source-2.6.32
  make defconfig
  make modules
  cd /usr/local/src/ipset/ipset-4.5
  make KERNEL_DIR=/usr/src/linux-source-2.6.32
  make KERNEL_DIR=/usr/src/linux-source-2.6.32 install

I am tantalizingly close but still no cigar:

  ipset -v
  ipset v4.5, protocol version 4.
  FATAL: Module ip_set not found.
  ipset v4.5: Couldn't verify kernel module version!

The ipset modules have been installed here:

  cd /lib/modules/2.6.32/extra
  ip_set.ko             ip_set_ipportiphash.ko
  ip_set_macipmap.ko    ipt_SET.ko
  ip_set_iphash.ko      ip_set_ipportnethash.ko
  ip_set_nethash.ko     ipt_set.ko
  ip_set_ipmap.ko       ip_set_iptree.ko         ip_set_portmap.ko
  ip_set_ipporthash.ko  ip_set_iptreemap.ko      ip_set_setlist.ko

Please tell me what's the best way to configure the system
to always find and load these modules.  My web searches for
a how-to in this regard have come up empty.

Thanks,
Andris