Read the README file that comes along the kernel sources; it should tell you everything you need like how to go about the compilation process, what software+versions you need to successfully compile the kernel and so on..
Then make sure you have the modules in the kernel that you need - the "stock values" might not suit your hardware. And don't remove the old kernel from /boot - it doesn't harm anyone there, as they're just files there, but it surely does prevent you from booting at all if you only have your new kernel that won't boot. Just copy the newly compiled kernel files (all files you need!) to /boot under a different name (like vmlinuz-2.6-something so you won't overwrite anything) and then edit your bootloader's (LILO) configuration (lilo.conf), write new boot section for your new kernel (perhaps copy the old one and alter filenames), re-run lilo (if using Grub this is not needed) and reboot. If you last time had 2.4 kernel after building a 2.6 kernel it simply means your bootloader was configured to boot 2.4 by default, or only that
including the new kernel enables you to boot it.