First step is to download the 2.6.0 kernel from http://www.kernel.org.
Save it in your /usr/src directory, then unarchive the new kernel. There should already be a symbol link in that directory called 'linux'. Delete that and then create a new one to the new kernel source (ln -s linux-2.6.0 linux).
The next thing you should do is read the relevant files in the Documentation directory (at least Documentation/Changes). It will outline the versions of various tools you'll need.
Then type 'cd linux; make menuconfig'. This brings you into a user-friendly configuration where you get to choose what you want your kernel to support. When you're done make sure you save the configuration when you exit. Then type 'make; make modules_install'.
The newly compiled kernel should be called /usr/src/linux/arch/i386/boot/bzImage. Backup your old kernel (probably /vmlinuz or /boot/vmlinuz) and then copy the bzImage file over your old one (i.e. cp bzImage /vmlinuz). Then just rerun lilo and you're set.