sure, there's a lot of how-to's out there.... here's one:
http://www.linux.org/docs/ldp/howto/Kernel-HOWTO.html
the basics are this:
cd /usr/src/linux
make menuconfig
make dep
makd bzImage
make modules
make modules install
cp arch/i386/boot/bzImage /boot
cp System.map /boot/
Then you gotta run lilo or grub again. The only thing you really gotta watch out for is that when you do that first "cp" command, you should copy it to /boot/<file that lilo points to> , or edit lilo (grub) to point to your new kernel.
you should devinitly also make a backup of your current kernel and System.map ex:
cp /boot/<kernel> /boot/<kernel>.bak
cp /boot/System.map /boot/System.map.bak
that's about it.....
good luck
-Adam