www.kernel.org to get the download. Actually 2.6.8 should be out soon.
Anyway, you get the tar.gz and put it in /usr/src and tar xfvz it.
Then you cd to the new directory and run
make xconfig and then the fun starts
To be honest it took me a while to get the kernel right, and I've been using linux for years, but it won't hurt anything for you to go to that stage and when you do we can chat more about it...
Actually it's not too bad, but there are a lot of options and you have to go through everything carefully to make sure you get it all right.
In the end tho it's okay as you always keep the kernel you are using now and add the new kernel to lilo so you can boot either at boot time. That way if anything goes wrong you just boot the original and try again.