Ok, well I should have figured this one out alot sooner.  It appears that
there is a module (sg.o or maybe we should say sg.o.gz) sg that should
have been loaded.

When I first noticed that my CD-Writer was not working I tried loading
module sg.o which gave me that error saying there wasnt any such module.
Which made me kinda perplexed and so I was looking for another solution.
Besides I was able to mount the CD-Writer as a normal CDROM.

Well, today after recompiling a new kernel, etc...etc...   I had some
problems with the modules being built correctly which made me look in to
the /lib/modules/ directory and then in the currently installed kernel
directory from where I eventually made it to the scsi directory under
there ( /lib/modules/2.4.8-26mdksmp/kernel/drivers/scsi ).  And to my
surprise somewhere along the line the kernel was changed so that the
loadable modules can now be gzip compressed and still be loaded ( I am
sure this is stated in a changelog somewhere that I havent read ).

Well to make a long story short.  I saw sg.o.gz, which made me type this
command:  insmod sg.o.gz

Amazing... the module loaded....

then: cdrecord -scanbus

Linux sg driver version: 3.1.20
Using libscg version 'schily-0.5'
scsibus0:
        0,0,0     0) *
        0,1,0     1) *
        0,2,0     2) *
        0,3,0     3) *
        0,4,0     4) 'PLEXTOR ' 'CD-R   PX-W1210S' '1.00' Removable CD-ROM
        0,5,0     5) *
        0,6,0     6) *
        0,7,0     7) *

Wow... there it is... all like we should expect.

Well... maybe this will help someone in the future that has a similar
problem.  Which was actually my lack of knowledge of how the kernel
modules where being loaded.  Go figure.   Now I know.  :)

Thanks for the responses.

Daryl