You may run into a few problems with loading modules. For example, you could get errors claiming that there is no module by such a name and so on. This may, for example look like the following.
insmod: iptable_filter: no module by that name found
This is no reason for concern yet. This or these modules may possibly have been statically compiled into your kernel. This is the first thing you should look at when trying to solve this problem. The simplest way to see if these modules have been loaded already or if they are statically compiled into the kernel, is to simply try and run a command that uses the specific functionality. In the above case, we could not load the filter table. If this functionality is not there, we should be unable to use the filter table at all. To check if the filter table is there, we do the following.
iptables -t filter -L
This should either output all of the chains in the filter table properly, or it should fail. If everything is o.k., then it should look something like this depending on if you have rules inserted or not.
Chain INPUT (policy ACCEPT)
target prot opt source destination
Chain FORWARD (policy ACCEPT)
target prot opt source destination
Chain OUTPUT (policy ACCEPT)
target prot opt source destination
If you do not have the filter table loaded, you would get an error that looks something like this instead.
iptables v1.2.5: can't initialize iptables table `filter': Table \
does not exist (do you need to insmod?)
Perhaps iptables or your kernel needs to be upgraded.
This is a bit more serious since it points out that we, first of all, do not have the functionality compiled into the kernel, and second, that the module is not possible to find in our normal module paths. This may either mean that you have forgotten to install your modules, you have forgotten to run depmod -a to update your module databases, or you have not compiled the functionality as either module or statically into the kernel. There may of course be other reasons for the module not to be loaded, but these are the main reasons. Most of these problems are easily solved. The first problem would simply be solved by running make modules_install in the kernel source directory (if the source has already been compiled and the modules have already been built). The second problem is solved by simply running depmod -a once and see if it works afterward. The third problem is a bit out of the league for this explanation, and you are more or less left to your own wits here. You will most probably find more information about this on the Linux Documentation Project homepage.
Another error that you may get when running iptables is the following error.
iptables: No chain/target/match by that name
This error tells us that there is no such chain, target or match. This could depend upon a huge set of factors, the most common being that you have misspelled the chain, target or match in question. Also, this could be generated in case you are trying to use a match that is not available, either because you did not load the proper module, it was not compiled into the kernel, or iptables failed to automatically load the module. In general, you should look for all of the above solutions but also look for misspelled targets of some sort or another in your rule.