If your downloading from kernel.org, you'll want to download the 2.4.22 series. Usually they will offer it as a bz2 or tar.gz package. There's not much difference, just a slight way to untar it.
If you need instructions compiling the kernel, I would recommend to read the Kernel howto at
www.tldp.org or search the forums here as this is asked and answered all the time.
Ask away if you run into any problems or have more questions.