You download the kernel source from
www.kernel.org, you then move to the
/usr/src directory and unpack the file with
tar -zxpvf kernel-2.4.xx.tar.gz. You should rename the directory
linux with
linux-2.4.xx (mv linux linux-2.4.xx) where xx is the number of your kernel. Symlink it back again (ln -s linux-2.4.xx linux), move into the kernel source directory (cd linux) and run
make xconfig, or
make menuconfig, or edit the config file manually and then
make config. Then you'd
make dep,
make clean,
make bzImage, [i]make bzlilo[/b], and almost certainly
make modules followed by
make modules_install.
Seriously, though. Take a look around on this site. I know for certain that I have answered it before, and I know that there's been a link to
this before.