1. download kernel source .tar.gz or .tar.bz2 format from www.kernel.org
for example there will be file like linux-2.4.22.tar.gz

2. copy it to /usr/src by following command:

cp filename.tar.gz /usr/src

3. cd to the /usr/src directory

cd /usr/src

4. issue the following command to uncompress the file

tar -xzf linux-2.4.22.tar.gz

it will extract kernel sources to /usr/src directory

right now directory for 2.4.22 will be

/usr/src/linux-2.4.22

5. create a symbolic link /usr/src/linux to point to /usr/src/linux-2.4.22
using the ln -s command:

cd /usr/src
ln -s linux-2.4.22 /usr/src/linux

6. cd to /usr/src/linux

cd /usr/src/linux

7. now issue following command

make xconfig

this will start a gui based configuration tool...where u will select the kernel options.Make sure you set fat, vfat and ntfs support and other required options.

Also it is recommended, that when the configuration is complete, you save the settings to a file on the hdd using the save to file option, so that the next time you recompile, you can directly load the configuration from the saved file and proceed to the next step

8. issue following command

make dep

9. issue following command

make clean

10. issue following command

make modules

11. issue following command

make modules_install

12. issue following command

make bzImage

now when make bzImage is done. open your grub.conf and make a backup copy of it, just to be careful forexample i did this cp /etc/grub.conf /etc/grub.backup.

13 . issue following command

make install

after make install is complete. open /etc/grub.conf and check if the entry of old kernel is still there or not. if its not there, open the backup of grub.conf that we created and copy and paste the entry of old kernel into grub.conf. if the old kernel entry is already there, thats great.

now reboot your system and enjoy new kernel.

Note: There is a way to compile kernel through rpms, but doing it source way lets u experience some cool speed plus totally your own kernel configurations, so i prefer this