Are you BOTH using Mandrake? To get the module to load automatically at boot, you just add "nvidia" to /etc/modules in Mandrake.
The "tainted" message has NO influence whatsoever on anything, unless you try to submit a bugreport to the kernel mailinglist. Since the kernel developers can't see the source for everything, they can't try to track down bugs unless you can reproduce them with no tainting. Click on your own link for the explanation. This is NOT an error; the module loads just fine.
djembeman -- if you're using a different distro, you have to do something different.
You also asked what modprobe does -- it loads a kernel module into memory. Since it loads it into memory, it is not permanent; you have to get the system to reload it on every boot.