Just Google for "kernel howto".
Else look on www.linuxhq.org
Make sure that you have installed the kernel source and headers. it will be in /usr/src/linux.
I would suggest that, for a first attempt, just take the default configuration. The temptation to tinker will be almost irresistible but when you start to modify the configuration you can get a "domino effect" which will only manifest itself when the new kernel does not boot! If this happens then boot "OldLinux" which will be your previous kernel.