You should be afraid, very afraid.
Read the kernel HowTo for starters,
For the impatient (from the doc itself):
1) Unpack the sources
2) Optional - You can copy the .config file from your old linux kernel source tree to new kernel tree (may save time, if you want to reuse the old settings).
3) make clean; make mrproper
4) make xconfig
5) make dep
7) make bzImage
8) make modules
9) make modules_install
10) make install
11) configure LILO or GRUB.
12) Optional - make clean (If you want to free up disk space)
Make a boot disk before doing any of this and be sure that it works. There are no end of the number of things that can go wrong here and you will surely experience at least one of them.
FYI: The 2.6 kernel is out, if you are going to wreck your system anyway, why not go for the latest-n-greatest?