You should probably start with the kernel HOWTO (
www.linuxdoc.org) to get some idea of what you're doing and where things could potentially go wrong.
Once you have acquired and installed the kernel source, the commands that I use are:
make mrproper
make menuconfig
make dep
make clean
make bzImage
make modules
make install
make modules_install
What you do next depends on whether you're using LILO or GRUB.
Aside:
There is another solution if you just want to be able to share files between Linux and windoze - create a fat32 partition. Both windoze and Linux will happily read/write that fs (vfat under Linux). This might also be a better solution 'cause after you get ntfs support in Linux, you won't be able to write to your windoze box, only read from it.