I'm currently running the 2.4.0-prerelease on SuSE 7; I don't think it makes much difference which distro you have, but if it's fairly old you might want to update things like modutils and so on.
How to build a kernel? Download the kernel, go into a shell (bash or tcsh), unpack it with tar fzxv <filename> into /usr/src/, cd into /usr/src/linux. Then type "make xconfig" (if you're in X) or "make menuconfig" (if in text-only mode). Select the bits you want, save the configuration you've created, go back to your shell, type "make dep && make && make modules && make install && make modules_install". Et voila! If you use lilo, it should pick it up automatically. If you use a Windows boot menu to run Linux, copy it to your C: drive too. There should be some documents that explain this better. When you do the "make menuconfig" or "make xconfig" bit there are some buttons you can press by each config option so you can tell exactly what they do.