Here are some interesting facts about running Linux kernel. Following information is quite useful if you are planning to compile your own custom kernel

But where is my kernel stored?
Your compiled kernel is always installed in /boot directory:

Here is listing of all installed kernel in my system (filename -> description)
$ ls -l /boot/

• config-2.6.12-1-386 --> Kernel configuration file generated by make menuconfig/make xconfig/make gconfig
• System.map-2.6.12-1-386 --> This file has a map of positions of symbols in the kernel. Device driver such as USB pen uses hot plug, which depend upon symbols generated by depmod utility
• vmlinuz-2.6.12-1-386 -- > Actual Kernel file
• initrd.img-2.6.12-1-386 --> Contains device drivers which are required to boot and load rest of operating system from disk. Usually SCSI and IDE drivers are stored in this file
• grub --> It is a directory, which stores grub Boot loader configuration file
• config --> Soft link to current kernel configuration file
• vmlinuz -> Soft link to current running kernel file
• System.map --> Soft link to current running kernel system map file

But what is 2.6.12 ... yup you are right it is kernel version

How do I find out version of running Linux kernel?
Use any one of the following command:
uname -r
OR
cat /proc/version

How do I find out where running kernel modules (device drivers) are stored?
Use any one of the following command:
ls /lib/modules/$(uname -r)
ls -d /lib/modules/$(uname -r)

How do I load kernel modules at boot time?
/etc/modules file should contain the names of kernel modules that are
to be loaded at boot time, one per line.
$ cat /etc/modules