Well theres bit of a process installing a a kernel, firstly if u have downloaded the kernel source, then u need to confiugre the kernel and then compile it to create an image to run.
Are u trying to develop the kernel from source? or have u downloaded and image? and there are quite new kernels available now, like 2.4.26 is the latest of 2.4 series.
If you provide the details above, we can help u a bit more. Also check out www.kernel.org,
u'll be able to find more details.