Contrary to popular rumors, compiling a 2.6x kernel is a snap!
This HowTo serves to show one way to do it.

First step, and probably the most important, is to grab a GNU/Linux kernel. [1]
At the time of creation of this HowTo, the newest stable kernel version is 2.6.9.

Step One:

Unpack the newly downloaded kernel into your home directory.

root@box~/home/StratuS/# tar -xvjf linux-2.6.9.tar.bz2

Step Two:

change directory to the newly created directory:

root@box~/home/StratuS/# cd ./linux-2.6.9
root@box~/home/StratuS/linux-2.6.9/#

Step Three:

Configure!

root@box~/home/StratuS/linux-2.6.9/# make menuconfig

The step above will bring up a ncurses menu, where your options are to
include (y), exclude (n) and module(arize) (m), different kernel options.
The step above would differ for most people, depending on different
hardware, and preference! I had just compiled a new kernel to have
ALSA included (and now I have multiple sound streams : D ) for my new
SoundBlaster LIVE, but some more touche sound solutions don't appreciate
that, such as my Sony Vaios integrated sound (it could have been the way
I was doing it). This step is flexible, play around with a few configurations
and get your feet wet!

Step Four:

Compilation!
It's wise to keep a copy of your '.config' (just made with
the step above), copy it back to your home directory:

root@box~/home/StratuS/linux-2.6.9/# cp ./.config ../
root@box~/home/StratuS/linux-2.6.9/#

Next, clean up old modules, files, etc:

root@box~/home/StratuS/linux-2.6.9/# make mrproper

Now copy your '.config' back: (would be wise to back it up
to a safe location, "back that thing up", but backup plans
are beyond range of this scope)

root@box~/home/StratuS/linux-2.6.9/# cp ../.config ./

Next, compile!

root@box~/home/StratuS/linux-2.6.9/# make 

And install:

root@box~/home/StratuS/linux-2.6.9/# make install

Install your modules:

root@box~/home/StratuS/linux-2.6.9/# make modules_install

Step Five:

reconfigure 'lilo':(or your loader of choice)

root@box~/home/StratuS/linux-2.6.9/# liloconfig

Reboot, you'll be running your new kernel, your done!
If some hardware is configured wrong, or the configuration
of said kernel is not as you wish, compile another, but watch
out for your '.config', 'make mrproper' will delete it in the current directory!
(hence, first code in step four).

Resources:
slackware.com [2]
kernel.org [3]

StratuS