By default, isn't SSH set up to not allow root to log in via SSH? I thought I heard that somewhere. Then I was reading an article that says in /etc/ssh/sshd_config to change "PermitRootLogin" from yes to no. I looked through that file and did not find a "PermitRootLogin" line. Can someone fill me in?

Just create a line that looks exactly like this:
PermitRootLogin no

Then kill sshd and restart it (or kill it with the -HUP signal). Also, you'll want to confirm that your OS is actually using the default config file in /etc/ssh instead of one stuck somewhere else (examine your init scripts to make sure it's not using the -f flag to override the default config file).

I think some distros independently changed their shipping config files to disable root login by default, but the source distribution from OpenSSH.org has it enabled by default. The reason for this is so you can still login to a remote server after upgrading it (unexpectedly being locked out after an upgrade would be messy).

Best practices say that you should always disable remote root login and use some other method, such as sudo (once authenticated with a normal user).

I did that and...

/etc/ssh/ssh_config: line 38: Bad configuration option: PermitRootLogin
/etc/ssh/ssh_config: terminating, 1 bad configuration options

actually that line goes in /etc/ssh/sshd_config

Yes, make sure you put that in sshd_config, and almost make sure your OpenSSH version is 3.7.1p2 or newer.

# $OpenBSD: ssh_config,v 1.19 2003/08/13 08:46:31 markus Exp $

But according to swaret (slack's update tool), I have openssh-3.8.1p1-i486-1. hmmm

He said that version or newer :P
There are a lot of exploits for older OpenSSH Daemons.
One nasty one where someone could use a modified ssh client and gain root =)

Yeah but what I was saying is, why does my ssh config file say v 1.19 yet my slackware system say v3.8.1 is installed?