Hi, I built a 2.4.36 kernel and edited the menu.lst file to have the name of this new kernel
It takes more than just adding the name of the kernel to the menu.lst to boot the new kernel.
The process of compiling a kernel produces a compressed kernel image (bzImage) which is located somewhere in /usr/src (exact location varies among distros). You need to either copy that image to /boot as vmlinuz-<kernel number> or put a symlink in /boot to the bzImage in /usr/src, then edit /boot/grub/menu.lst to show the new kernel.
You also have to make a new initrd for the new kernel (if your distro requires one) and put it in /boot, with appropriate edit of menu.lst.