There is a big difference between a kernel and an operating system.
The kernel itself handles various house-keeping tasks, interaction with external hardware and other such devices. Without an operating system to put on top of the Linux kernel, you won't have much success.
My advice would be to download or buy a Linux (a.k.a. “GNU/Linux”) distribution like SuSE, Debian, Mandrake, etc. and install that. You'll find plenty of getting started guides and further information on this site and on http://www.tldp.org/
You can certainly dual-boot a Linux based OS with other operating systems. In the specific case of Microsoft DOS or Windows, make sure that the MS software is installed first.
Actual instructions for installing a kernel from source go like this:
Backup your existing kernel, and add a new entry for it in /etc/lilo.conf
Unpack the archive to /usr/src/linux
Run “make xconfig modules modules_install install”
For this to work, you'll need at least the following software set up and installed:
- The GNU C compiler (the only compiler that will actually compile the Linux kernel)
- Tcl/Tk for the xconfig (or Qt-devel for 2.6 series kernels)
- GNU make (or compatible)
- Lilo, a Linux bootloader (it can also be configured with GRUB with a little more effort)
At least two of these won't work on Windows, so I suggest that you get a GNU/Linux distribution first.