no problem what so ever, i did just this a few weeks ago
what you need to do/ what i did:
1) decied where your going to get your kernel sources from:
either direct from the source: kernel.org
or get them from mandrake.
2) get your self a howto; goto tldp ( The Linux Documentation Project )
and get the kernel howto. give it a read through make sure you understand the steps envolved and method of compiling a new kernel
3) either install your rpm, or move and unpack your kernel source to /usr/src and make sure you have your linux symbolic link setup
4) cd in to the linux directory, if your running Xwindows ( the linux gui ( kde, gnome, openbox or whatever you use ) )
then i would recommend running: make xconfig
this will bring up a nice gui for you to configure your kernel, make sure you compile in support for modules, ext3 and if you wish experimental stuff. if i am unsure i compile it as a module and then if i need it later then i dont have to make a new kernel when i need a feature.
5) follow your kernel build instructions through to the letter, i recommend you donot deviate from the path that has been put before you, from experience i can tell you, i have screwed up several times and its not a good feeling when the kernel panics and you cannot get back into the system which is my next point.
6) Back up, back up, back up
by default your mandrake install comes with ( or should do ) a failsafe option on your boot menu you must keep that there, i cannot tell you how many times that option has saved my skin. also, if you are updating a server thats mission critical and have a limited time to install the new kernel, i recommend keeping you old kernel installed and availible as an option on your menu
the above is not intended to put you off compiling your kernel, it just a caution of what could go wrong.
note: if you change your processor specification in the kernel and its higher than what you have in you computer the kernel will not run ( i beleve )
have a play