You created checkcommands.cfg? Well, it doesn't do you much good if it's empty, now does it? I can't remember the exact command, but when you're installing Nagios, you can use a make command to install the sample (non-empty) .cfg files, which will include checkcommands.cfg.
If you're installing one of the beta releases of Nagios (such as 2.0b4), you may have skipped over this step as it's not documented in the beta version documentation. If you pay attention during the compilation and installing, however, the output will show you what command I am referring to.