download tarball from kernel.org
tar zxvf linux-2.4.18.tar.gz
rm -rf /usr/src/linux
mv linux /usr/src
cd /usr/src/linux
make menuconfig
select your options and drivers
make dep
make clean
make bzImage
make modules
make modules_install
cp arch/i386/boot/bzImage /boot/vmlinuz-2.4.18
cp System.map /boot/System.map-2.4.18
vi /etc/lilo.conf
vi /etc/modules
shutdown -r now
of course you cant simply just do this and expect it to work, but this is the general idea of what is involved. check the links jliechty mentioned, and read. READ READ READ!!! 😀
irc is also always a handy place for help. efnet #linuxhelp or OPN #debian are great (the latter, if you are a debian user)