This is something that I've done before, successfully, with a few problems along the way, and will be doing again soon on my Slackware box. Don't expect to not get your hands dirty, though. First, you must download the kernel you want (the newest is something like 2.6.11.x), and unzip it to the /usr/src directory. From that directory you should open a terminal and run numerous commands illustrated in forum:
I recommend that you know a good bit about the hardware you're running to adequately choose your options in the Linux Kernel Menu.