first go to www.kernel.org
,download the kernel you want and it is better to untar/unzip the file you downloaded in /usr/src/linux-kernel-version
then if you don't want to reconfigure the hardware,just copy /boot/config to /usr/src/linux-kernel-version/config,then type -> make oldconfig,make dep,make bzImage, make modules and make modules_install. else you may need to have deep knowledge in your hardware and type -> make menuconfig,make dep,make bzImage, make modules and make modules_install. this few steps take quite long time
After the previous steps, you can copy the usr/src/linux-kernel-version/arch/i386/boot/bzImage to the /boot folder, let say with file name vmlinuz-version and also the config and System.map files in the /usr/src/linux-kernel-version to the /boot.
then edit /etc/lilo.conf and add following codes
Don't delete the entries in lilo if there's something wrong you still got backup plan
just save it and type->lilo
finally, reboot your system