<< Check RedHat's site for updates, I believe you can try running up2date to get them that way too.
I would suggest sticking with a RedHat kernel because they patch and test it a lot, compiling your own isn't really that hard but it can be daunting for a new user. >>
I think the latest RedHat kernel is 2.4.9. The newest kernel has a significantly improved VM, so its worth checking out.
A nice feature of Linux is that you can esily try out a new kernel without trashing your existing setup. You just leave the old kernel & modules intact, and add the new setup to grub or lilo. If it doesn't work, just boot to the old one. No harm, no foul!
When you download the kernel source, you'll find documentation in there describing the kernel config/build/install process. There is probably also a howto, check linuxdoc.org