Ok, when I installed mandrake 9.2 I specified to use grub, and when I boot up it shows grub booting. The weird thing is, that I don't have a grub.conf file in /etc. I have a lilo.conf file but no grub.conf. I can boot fine and everything, I just can't adjust my grub.conf file because for some reason I have a lilo.conf instead of the grub.conf. I even installed the 2.4.22-21mdksmp kernel, and it shows in grub at boot and I can boot into it. ODD!

It is probably:
/boot/grub/grub.conf

no it's not there in there.

I searched for it but could come up with nothing.

Do you have /boot/grub/? What is in there:
ls -l /boot/grub/

here's whats in my /boot/grub/:

[root@dhcp-311-5 etc]# ls -l /boot/grub/
total 260
-rw-r--r-- 1 root root 45 Oct 28 09:50 device.map
-rw-r--r-- 1 root root 11008 Aug 18 11:05 e2fs_stage1_5
-rw-r--r-- 1 root root 10000 Aug 18 11:05 fat_stage1_5
-rw-r--r-- 1 root root 9024 Aug 18 11:05 ffs_stage1_5
-rw-r--r-- 1 root root 158 Oct 28 09:50 install.sh
-rw-r--r-- 1 root root 11200 Aug 18 11:05 jfs_stage1_5
-rw-r--r-- 1 root root 538 Oct 28 09:50 menu.lst
-rw-r--r-- 1 root root 101 Oct 28 09:50 menu.once
-rw-r--r-- 1 root root 282 Oct 28 09:50 messages
-rw-r--r-- 1 root root 9440 Aug 18 11:05 minix_stage1_5
-rw-r--r-- 1 root root 12832 Aug 18 11:05 reiserfs_stage1_5
-rw-r--r-- 1 root root 512 Aug 18 11:05 stage1
-rw-r--r-- 1 root root 130765 Aug 18 11:05 stage2
-rw-r--r-- 1 root root 8672 Aug 18 11:05 vstafs_stage1_5
-rw-r--r-- 1 root root 12744 Aug 18 11:05 xfs_stage1_5

Ah - try menu.lst

Ahhh, I see, yup that does the trick. thanks a lot for your help.

Sorry I forgot about that - it is usually a symlink