make menuconfig you only change the configuration file
.config which is used in the compilation process. One doesn't need to use this menuconfig tool - there are other scripts for that or one can even edit
.config by hand (although this is error prone and thus not recommended).
So in order to finish the task you've started you need to compile the kernel with new settings, copy that kernel to
/boot (or wherever your boot loader is reading), optionally update link
/usr/src/linux to point to correct source, add to grub (or other bootloader you use) a line with new kernel, and after that just reboot, select the previously set line in the grub menu, and voilà.