Oh my god, haven't we heard this one before... RTFM
Just joking, the above is not my style.
You say you downloaded the kernel. Mind telling us which version it is? Did you download a source tarball, a rpm, an idon'tknowwhat?
If you have a kernel of 2.6.x series, the most obvious steps would be:
#select your hardware, support for features and stuff
make && make modules_install
cp arch/i386/boot/bzImage /boot/kernel-2.6.x-new
cp System.map /boot/System.map
then edit /boot/grub/grub.conf
add an entry as follows:
title=New, untested kernel
root(0, 0) #hda1, for hda2: root(0, 1), for hdb3: root(1,2)
and that's it! reboot and enjoy.. you'll have to recompile nvidia drivers if you use them, and maybe some other stuff too.
If it works the 1st time you do it, it'll be a miracle so don't be angry if it doesn't. Even I hardly get it right the first time I get a new kernel version.