Compiling Linux kernel error xt_CONNMARK.h

I am trying to compile a Linux 2.6.32.6 kernel with several modules built into the kernel for a very specific reason. I turned on the Root File System on NFS in an attempt to PXE Download your own Live-CD rescue on your local network. After including the dependencies and module needed for ROOT_NFS, I am trying to compile only the Linux kernel with make bzImage. When this is done, I get an error

make[4]: *** No rule to make target './linux-2.6.32.6/include/linux/netfilter/xt_CONNMARK.h', needed by './linux-2.6.32.6/usr/include/linux/netfilter/.install'. Stop.

Now I tried to disable Netfilter modules in the configuration and tried to find any dependencies that required Netfilter, but this error still persists.

Any suggestions for resolving this error would be helpful.