Download the latest stable (2.4.xx) kernel from
www.kernel.org
Copy it somewhere (probably should put it in your home directory). Run:
tar xvzf linux-2.4.xx.tar.gz
cd linux
make menuconfig
this will compile the config program and you will see the configuration screen. Now you should go through all the options and include the things you want. Each one has some help info for it. If you aren't sure you need something, then just press m to include it as a module (if it can be compiled as a module that is). Make sure you tick the kernel module loader.
Things you don't include as modules: ATA disk support, the filesystem that your root partition has. These have to be compiled into the kernel (ie. press y, not m). When you have finished exit and run:
make dep
make bzImage
make modules
make modules_install
cp arch/i386/boot/bzImage /boot/vmlinuz-2.4.xx
if you are using lilo you will to add an entry to lilo.conf (see /etc/lilo.conf and man lilo.conf) and then run /sbin/lilo. If you are using grub, i don't know what to do (maybe nothing).
then reboot and select your new kernel at startup. If it fails to boot, boot with your old kernel and try configuring and compiling again.
I hope someone can explain what to do better than I just did
Good luck