First, When you make bzImage, the file is created in 
/usr/src/linux/arch/i386/boot/ and is named bzImage, that is your kernel 
file, so I'm not sure why you're doing a make bzlilo after that.

Second, did you compile NTFS support in the kernel itself or as a 
module.  If in the kernel then the bzImage file mentioned above will do. 
 If in a module you still have to do a make modules and a make 
modules_install to be able to use the NTFS filesystem.

Third, you need to copy that bzImage file into your /boot directory and 
edit lilo.conf to look for it.  From what you wrote, you say lilo is 
looking at the original vmlinuz file and all that means is that, while 
you have recompiled a kernel to use NTFS, you have not instructed lilo 
to look for it and use it.  Edit your lilo.conf file and when you're 
done editing run lilo at the command line to enable the changes.

-- 
Jose A. Hernandez
jhboricua at jhboricua.org
rsync://rsync.jhboricua.org/gentoo-portage/