if you don't have experience of compiling kernel then you can follow the instructions given in a tut by "DrOzz" in LQ DrOzz's newbie guide for kernel compilation
now the things which you should keep in mind :
1. Since you are moving from 2.4 to 2.6, so ( what i know ) you should not use the "./config" file of 2.4 which is found in /boot in redhat 9.
2. You should use ".config" of 2.6 ( which in slackware 10.0 is found in "testing" folder in second cd. But i'm very sorry i don't know about RH9 ( may be you do not need to have it ))
3. Be damn slow in kernel compilation. What i mean is keep on compiling it time to time and not in a single sitting ( unless you are master in it )
4. A "master" friend of mine ( who has more than 5000 posts on this forum ) adviced me "not to compile RH9 2.4 to 2.6", as he says it gives too much of problems ( i don't have personal experience with it )