Read the kernel howto. It's avaiable on tldp.org and pretty much everywhere else.
You have downloaded patch files. You can patch the source for version 2.4.20 with the 2.4.21 patch, and once that's done you can patch it up to 2.4.22 using the latest patch. You might be better off just downloading the whole linux-2.4.22.tar.bz2 archive though, that's the complete source (no need for patching).