This is beyond the scope of one post, but check out DaOnes kernel compile guide for newbies in the slackware forum
Also might want to check out his guide with some more specifics on 2.6.x
That should get you started. Just remember: don't compile your root file system as a module! It must be in the kernel! This is one of the most common causes of kernel panics after a newbie kernel compile.
If the links don't work both threads are a sticky in the slackware forum.