Most current distributions store the config file for the installed kernels in /boot, so if you are running linux-2.4.20 chances are you have a file in /boot called config-2.4.20 or something to that effect.
To re-use that old configuration when you configure a new kernel, copy the config file to /usr/src/linux/.config, where /usr/src/linux is a symlink to the actual kernel source tree location. Then, in /usr/src/linux, run make oldconfig. You will be asked several questions. These are options that are new in the current version (the one you're configuring) and that were not available in the old version. The answers you give here aren't final - once you're done answering the questions you can do a regular make menuconfig or make xconfig to make sure everything looks OK and that you have all the options you want in there.
The 2.6-test series kernels provide a means of grabbing the configuration directly from /proc/config.gz, if that option was enabled during the configuration of the running kernel.