You should tell (save in your profile information) the operating system and version you are using. It helps in telling what to do, because some things are made slightly differently on different distributions.
In order to be able to compile a new kernel, you need:
1) to have the tools (compiler, linker, make utility, ... => install or make sure you have installed gcc [GNU compiler collection], binutils, make and such before doing anything else)
2) kernel source code (install a source package for your kernel version or download from kernel.org) and
3) to read the README file that comes along the source and/or other documentation; the README file tells exactly what you need to do to successfully compile a new kernel.
Once you have made sure you have the tools needed to compile source code into binaries, the kernel source code unpacked somewhere on your filesystem and have read the README file enough to know what to do and you still can't do it, but face problems, post here what you were doing, what errors you got and what you have done so far.