The first thing you need to know is why to get a newer kernel? Mandrake already come with 2.6.x series, which is pretty new. Some peoples upgrade the kernel in order to get a faster boot time, which is silly, really. It's just a matter to disable services and you will get into a "sweet ride" with any Linux/kernel.
Upgrading the kernel has two real objectives: 1) Add support for a piece of hardware that does not come supported by your current kernel or 2) to simply learn how to do it.
Since you said that you are new to Linux, if you want to upgrade your kernel because you simply want to learn how to do it, most likely you will get into a hell lot of unnecessary troubles (sound, modules or maybe even an non-bootable system)...
But if you still want to do it:
http://www.linuxquestions.org/questi...threadid=73436
Good luck!