Your kernel download URL is truncated so I can't make any comment on that however assuming you are running a pentium class intel box (hence the i686 kernel) then you are almost correct...
rpm -ivh kernel-2.4.20-20.9.i686.rpm
-i rather than -U so that you install a new kernel rather then upgrade your current one. This way, rpm will update your boot loader and if the new kernel doesn't work then you can still boot the old kernel. -vh = verbose with hash marks for status.
If you're short of space, one you are sure that the new kernel works you can uninstall the old kernel using rpm -e.
if you want to boot the new kernel by default, edit your bootloader file (/etc/grub.conf if you're using grub) to specify the correct default kernel (1st stanza = 0 not 1).
PS - the 'up2date' utility can do this for you and is well worth looking at. Run the command 'up2date' or go to