Regarding the unzipping of the file: some older tutorials stated that it should be done in /usr/src. In some other places, I've seen that you should unzip into a different folder, usually somewhere in /home/some_directory_of_your_choice/. I'd suggest you to go with the latter as the former may cause errors during the compile.
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can I change the kernel while I am in linux using the soon-to-be-gone kernel?
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I don't seem to be able to follow you. Again, do you mean some out-of-the-ordinary kernel replacement? The main steps to be followed are: configure the kernel (using one of the 5 possibilities), compile the kernel and the modules, install the modules, copy the kernel file & System.map, configure the bootloader.
And of course that all of these steps are to be made while using your distribution running your current kernel. And it's a good idea to keep the old kernel at least for a while, just to make sure the new one works.
Edit: Hmm...seems like _J got ahead of me.