Longinus - as you know Linux is in a constant state of evolution, and for each major release of the kernel, there will be a number of incremental improvements made, which are released as minor versions of the kernel. The 2.4.20 kernel is very stable, and as long as you're happy with it, you may want to just stick with it. [Important security note: as unSpawn details on the LQ home page, there is known security issue that was recently discovered with certain vesions of the kernel; please see unSpawn's comments for more detail.]
In any event, if you are running Redhat v9.0, you probably have the up2date service enabled on your machine (it's the red dot (or blue, depending) to the left of your clock) A red dot indicates that there are updates available; the blue dot indicates your system is fully up to date. I recently installed Redhat 9 on one of my machines, and the latest version of the kernel I got was 2.4.20-24.9 Clearly the simplest way of obtaining this version would be to let up2date get it (and install it) for you. Just click on the red dot and follow the prompts.
On the other hand, if you actually asking about how to compile your own kernel, that would be a different project. There are a variety of other threads on that topic; I recommend using the Search function to obtain further information. -- J.W.