Dude. It's fair. I suggest you do a bit of reading on how to compile your kernel. You cant just expect it to be a double click or just typing a line of text.
You need to download whatever kernel you're going to use.
Then, you need to copy it to the /usr/src folder.
After that you need to extract everything in the compressed kernel file you just downloaded at the current location. In doing so it will create a new folder with all the kernel source in there.
For example: if you CD to /usr/src and the do ' ls ' you should see a folder called like linux-2.4.23 or something. When you extract your new kernel you willl see a new folder in there too like linux-2.6.1.
You then need to remove the symlink pointing to the old kernel folder and recreate it pointing to the new one (at least this is what I do, because I don't need to have 3 kernel versions to boot into).
When you did an ' ls ' the folder you see called linux@ is actually not a folder it is a symlink (symbolic link) pointing to another folder. It's like a shortcut in Windows.
To delete the symlink you just type ' rm linux ' while in the /usr/src folder.
To create a new symlink to the new location you need to type:
ln -s /usr/src/linux2-6.1 /usr/src/linux and hit Enter.
I really could go on and on, but if you get to this point you should be going fairly well.
Do a bit of reading, and post in this thread again and let me know if you get to this point. If so, we'll help you more