With Mandrake, there's no magic way to compile the kernel while installing the distro. If you want to do something like that, look into Gentoo (I'm not sure if it's really possible there either). In any case, it's definitely easiest to install a working kernel, get the sources, modify them, and recompile. That way if you fsck up and it doesn't work, you can boot into your old kernel.
Anyway, why exactly do you want to change the kernel stack size? This will require many changes in the kernel to get working properly. Fortunately, it appears someone else has done pretty much all the work for you, as referenced in
this post. I suggest you read the patch to see how it was done.