Linux Forums has a newbie guide on compiling your first Linux kernel:
So you've been using Linux for a while now and have decided to take the next step. Whether you are looking for a performance increase, added hardware support or even just to enhance your geek cred, compiling your own kernel need not be a horrifying experience. Compiling a kernel has historically been a very involved and, at times, frustratingly hair pulling experience for new Linux users. All that has changed however with new tools making it easier than ever before to roll your own. In this article I will take you through the whole process, step by step, from downloading to booting your new kernel.