Very excited to give the best and freshest a go, I went about compiling the 2.6.3 kernel on my RH 9 box.

I followed the very helpful HOWTO posted here somewhere:
Config went well (make xconfig)
compile also (make bzImage)
modules fine (make modules)
and install good too (make modules_install)

Now I notices that the thing produces a vmlinux file, not a vmlinuz as expected. (as I understand, vmlinuz is compressed, vmlinux not)

When I point grub to boot from it, it tells me:
error 13: invalid or unsupported executable format.

Size of vmlinux is about 3.7 mbyte, chosing a minimal kernel in config and doing most things in modules.

What am I missing here? Can I check the kernel integrity by other means than to try to start the system on it by grub?

I use
make xconfig
make all
make install && make modules_install

Can't help you though, use lilo myself

Wrong file.

vmlinux is the uncompressed C machine code of the Linux kernel - placed in the right environment, it acts just like a C program.

You want the file in arch/i386/boot/bzImage - THAT is the proper Linux kernel file.

Yes, that did the trick.

Wonderful, thanks for your help!

I used the bzImage file, and yet I still came out with a ton of lilo errors.

warning: '/dev' directory structure is incomplete; device(xx, xx) is missing.
Fatal: Failed to create a temporary device