This is for a frugal install on hard drive /dev/hda5 with grub installed on /dev/hda5
sample menu.lst
title Puppy Linux 2.14 (on /dev/hda5)
root (hd0,4)
kernel /vmlinuz root=/dev/ram0 PMEDIA=idehd
initrd /initrd.gz
When the GRUB menu comes up, press 'c' to go to a command line.
Type 'find /vmlinuz' and 'find /initrd.gz'
This will tell you where GRUB thinks the files are.