To use knetfilter your kernel should be compiled with FULL netfilter 
support enabled. 

Here is the configuration I do suggest based on Linux kernel 2.4.20. 
(Please, not that I DO USE arpd)

# Networking options
#
CONFIG_PACKET=y
CONFIG_PACKET_MMAP=y
CONFIG_NETLINK=y
CONFIG_RTNETLINK=y
CONFIG_NETLINK_DEV=y
CONFIG_NETFILTER=y
# CONFIG_NETFILTER_DEBUG is not set
CONFIG_FILTER=y
CONFIG_UNIX=y
CONFIG_INET=y
CONFIG_IP_MULTICAST=y
CONFIG_IP_ADVANCED_ROUTER=y
CONFIG_RTNETLINK=y
CONFIG_NETLINK=y
CONFIG_IP_MULTIPLE_TABLES=y
CONFIG_IP_ROUTE_FWMARK=y
CONFIG_IP_ROUTE_NAT=y
CONFIG_IP_ROUTE_MULTIPATH=y
CONFIG_IP_ROUTE_TOS=y
CONFIG_IP_ROUTE_VERBOSE=y
CONFIG_IP_ROUTE_LARGE_TABLES=y
# CONFIG_IP_PNP is not set
# CONFIG_NET_IPIP is not set
# CONFIG_NET_IPGRE is not set
# CONFIG_IP_MROUTE is not set
CONFIG_ARPD=y
CONFIG_INET_ECN=y
CONFIG_SYN_COOKIES=y

#
#   IP: Netfilter Configuration
#
CONFIG_IP_NF_CONNTRACK=m
CONFIG_IP_NF_FTP=m
CONFIG_IP_NF_IRC=m
CONFIG_IP_NF_QUEUE=m
CONFIG_IP_NF_IPTABLES=m
CONFIG_IP_NF_MATCH_LIMIT=m
CONFIG_IP_NF_MATCH_MAC=m
CONFIG_IP_NF_MATCH_PKTTYPE=m
CONFIG_IP_NF_MATCH_MARK=m
CONFIG_IP_NF_MATCH_MULTIPORT=m
CONFIG_IP_NF_MATCH_TOS=m
CONFIG_IP_NF_MATCH_ECN=m
CONFIG_IP_NF_MATCH_DSCP=m
CONFIG_IP_NF_MATCH_AH_ESP=m
CONFIG_IP_NF_MATCH_LENGTH=m
CONFIG_IP_NF_MATCH_TTL=m
CONFIG_IP_NF_MATCH_TCPMSS=m
CONFIG_IP_NF_MATCH_HELPER=m
CONFIG_IP_NF_MATCH_STATE=m
CONFIG_IP_NF_MATCH_CONNTRACK=m
CONFIG_IP_NF_MATCH_UNCLEAN=m
CONFIG_IP_NF_MATCH_OWNER=m
CONFIG_IP_NF_FILTER=m
CONFIG_IP_NF_TARGET_REJECT=m
CONFIG_IP_NF_TARGET_MIRROR=m
CONFIG_IP_NF_NAT=m
CONFIG_IP_NF_NAT_NEEDED=y
CONFIG_IP_NF_TARGET_MASQUERADE=m
CONFIG_IP_NF_TARGET_REDIRECT=m
CONFIG_IP_NF_NAT_LOCAL=y
CONFIG_IP_NF_NAT_SNMP_BASIC=m
CONFIG_IP_NF_NAT_IRC=m
CONFIG_IP_NF_NAT_FTP=m
CONFIG_IP_NF_MANGLE=m
CONFIG_IP_NF_TARGET_TOS=m
CONFIG_IP_NF_TARGET_ECN=m
CONFIG_IP_NF_TARGET_DSCP=m
CONFIG_IP_NF_TARGET_MARK=m
CONFIG_IP_NF_TARGET_LOG=m
CONFIG_IP_NF_TARGET_ULOG=m
CONFIG_IP_NF_TARGET_TCPMSS=m
CONFIG_IP_NF_ARPTABLES=m
CONFIG_IP_NF_ARPFILTER=m
# CONFIG_IP_NF_COMPAT_IPCHAINS is not set
# CONFIG_IP_NF_COMPAT_IPFWADM is not set



If you prefer (as you should) to use modules, please load all them.

If you want, you can use this script.

---

#!/bin/sh
modprobe ip_conntrack
modprobe ip_conntrack_ftp
modprobe ip_conntrack_amanda
modprobe ip_conntrack_irc
modprobe ip_conntrack_tftp
modprobe ip_nat_ftp
modprobe ip_nat_amanda
modprobe ip_nat_irc
modprobe ip_nat_tftp
modprobe ip_nat_snmp_basic
modprobe ip_queue
modprobe ip_tables
modprobe ipt_DSCP
modprobe ipt_ECN
modprobe ipt_LOG
modprobe ipt_ULOG
modprobe ipt_MARK
modprobe ipt_MASQUERADE
modprobe ipt_MIRROR
modprobe ipt_REDIRECT
modprobe ipt_REJECT
modprobe ipt_TOS
modprobe ipt_TCPMSS
modprobe ipt_CLASSIFY
modprobe ipt_NETMAP
modprobe ipt_SAME
modprobe ipt_limit
modprobe ipt_ah
modprobe ipt_conntrack
modprobe ipt_dscp
modprobe ipt_ecn
modprobe ipt_esp
modprobe ipt_helper
modprobe ipt_iprange
modprobe ipt_length
modprobe ipt_mac
modprobe ipt_mark
modprobe ipt_multiport
modprobe ipt_owner
modprobe ipt_recent
modprobe ipt_pkttype
modprobe ipt_state
modprobe ipt_tos
modprobe ipt_unclean
modprobe ipt_tcpmss
modprobe ipt_ttl
modprobe iptable_filter
modprobe iptable_mangle
modprobe iptable_nat
modprobe arp_table
modprobe arpt_mangle
modprobe arptable_filter