GRUB shows two linux kernel versions
 

I have just started using Red Hat Linux 9.0. I have two hard drives, One with Windows XP and other with Linux. I've successfully installed the system and then took updates from Red Hat website. Now i must have installed an earlier version of Linux kernel (2.4.20.1) but then redhat installed a new version (i.e 2.4.20-28.9). Now my GRUB shows these two versions along with Windows XP

How do i remove the older version from the GRUB?

(Its my first few days with Linux so i am having hard time even doing simple things)

The newest kernel is probably selected by default on boot. It's ok to leave the old one there. If you are bugged by that, go to /boot/grub and edit grub.conf. remove the entry for the kernel you dont want to see. Also, go to /boot and remove the kernel image matching the version you don't want. But be sure everything runs fine for some time before doing these things.

The setting is kept in
/boot/grub/grub.conf

To edit it, just do as root:

nano /boot/grub/grub.conf

You might also want to actually remove it from your /boot directory too (each one take 10-30 megs or so)
Just delete every file that has the number that you want delete in it. Make sure not to delete anything else (or.. you'll have a non working system )