Question about creating initrd for LVM root

I try to create initrd for LVM root on a Ubuntu 6.06 machine, but mkinitrd keeps complaining "Kernel does not support LVM". Someone who created initrd for LVM root experience this issue before?

Please help!

$ mkinitrd -o initrd -r /dev/vg/root
File descriptor 3 left open
File descriptor 4 left open
File descriptor 5 left open
File descriptor 6 left open
File descriptor 7 left open
    Finding all volume groups
    Finding volume group "vg"
/usr/sbin/mkinitrd: /dev/mapper/vg-root: Kernel does not support LVM