Installing From Source

cd /usr/src
bzcat linux-2.4.17.tar.bz | tar xvf -
cd linux
make config | make menuconfig | make xconfig
make dep
make clean
make bzImage
make modules (if modular kernel)
make modules_install (if modular kernel)
cp System.map /boot/System.map-2.4.17
cp arch/i386/boot/bzImage /boot/vmlinuz-2.4.17
cp .config /boot/config-2.4.17
mkinitrd /boot/initrd-<version> <kernel version> # Depending on kernel configuration
Update LILO or GRUB
Reboot into new kernel

Installing from RPM

rpm -Uvh mkinitrd-<version>.rpm # If necessary
rpm -Uvh SysVinit-<version>.rpm # If necessary
rpm -Uvh initscripts-<version>.rpm # If necessary
rpm -Uvh kernel-headers-<version>.rpm # Optional
rpm -Uvh kernel-source-<version>.rpm # Optional
rpm -ivh kernel-<version>.rpm --force
rpm -ivh kernel-pcmcia-cs-<version>.rpm --force # For laptops
mkinitrd /boot/initrd-<version> <kernel version> # Depending on kernel configuration
Update LILO or GRUB
Reboot into new kernel

NOTE: It is recommended that you install and not upgrade the kernel and kernel-pcmcia-cs packages. That way if the new kernel doesn't work, you can boot into a previous kernel that does.