I have built a kernel for the 2.4.36 vanilla Linux. I think that you would do the same thing that I did. I just followed the instructions in the README that is in the kernel source directory.
You go to: http://www.kernel.org/
Find the kernel that you want. Download it. Use "tar" to unpack it. Then follow the README instructions. I think you asked two different questions. One was how to get your wireless card to work. The other was how to build the kernel. This is new to me. To build the kernel:
make dep (if building an older kernel like 2.4)
make modules_install install
The README has more instructions. The makes take a long time. I built one 2.6.2X kernel and it took more than an hour! The 2.4 kernels build much faster. I built one in under 10 minutes. I am still trying to figure out how to configure the kernel though. That is a confusing part of building the kernel. If you did not have to configure the kernel at all, then you could simply run these makes and you would be done. I had some problems with GCC though, so sometimes it does not make right and you have to load more programs onto your system. It is difficult to figure out. You have to read a lot and spend a lot of time.
If you do not need to build a kernel, then don't. I think this is what they are trying to tell you. It can take a lot of time. After you build it, you have to get it to boot! I have been trying to figure out that part. Linux is new to me. I never could build M$crosoft ME though. They would not even let me get the sources.