If you just want to learn how to build a kernel, then Kwan Lowe's
Kernel Rebuild Guide is what I'd suggest you read.
If, on the other hand, you just want a Slackware generic kernel
(why would you?), then you can untar the source of 2.4.33 and use
your present kernel's .config file to run "make oldconfig".
The instructions for kernel building are included in the kernel
source of every kernel, written by Linus Torvalds, in the README file.
I'm a little rusty on 2.4 kernels, but I see you did not do a "make clean"
after "make dep" or a "make bzImage" so you don't have a kernel image to
put in /boot anyway.
Read those instructions -- Kwan Lowe's or Linus Torvalds -- both work.