Going from 2.4 to 2.6 kernel requires alot of tool upgrades..
There is good documenation at
www.kerneltrap.org
The best way in Mandrake is to use drakeconf... and with anyluck it will automatically download the required dependancies.. (if 2.6.5 is a stable Mandrake rpm yet)
If 2.4.xx works fine for you don't upgrade to 2.6 yet...
A word to the wise... If you are just compiling it from source ...
www.kernel.org and not using the src rpms from Mandrake... your system will be messy....
Many of the conveniences of Mandrake will not work correctly, your fstab file may not be configured correctly any more etc...
Cheers,
Gary