At it's very most simplest:
grab a kernel from www.kernel.org
untar it to /usr/src/linux
move /usr/src/linux to /usr/src/linux-x.y.z (depending on version).
symlimk /usr/src/linux-x.y.z > /usr/src/linux
move into linux directory.
type make xconfig
go through and READ EVERYTHING. You may not think you need something, but read about it anyway.
Once you're done, type make dep && make clean && make bzimage && make bzlilo
then edit your /etc/lilo.conf file and add a new entry for the new kernel, then type lilo
If you selected to have stuff made as modules (you should have), then type make modules && make modules_install
That's really just a very short summary of the Kernel HOWTO
from the LDP.
Hope this helps.
Oh, BTW, I would seriously suggest you read the above HOWTO instead of just taking my instructions as read. I may have forgotten something.