When I installed Debian the default was the 2.2 kernel. I wanted the stable version of Woody and still want to keep it that way. On my two other hard-drives I have Suse and Windows 98.
Grub is configured in Debian.
Now to my questions:
If i upgrade Debian to kernel 2.4 is this the right command apt-get dist-upgrade
Must I configure Grub after that.

No apt-get dist-upgrade is has nothing to do with the version of kernel you're using. That only upgrades your libs and other packages.

Go to kernel.org, get the kernel you want to upgrade to (if you're going to go with a 2.4 kernel make it the latest one 2.4.25.) Uncompress it to /usr/src, cd into the directory thats created (could be something like /usr/src/linux-2.4.25) and start to configure it using "make menuconfig"

Once you're done configuring, compile kernel, compile and install modules, copy your new kernel to your /boot directory. Update reconfigure grub with your new kernel (make sure you still keep the old one as a boot option in case your new kernel doesn't work.) Reboot and try out your new 2.4 kernel.

I would suggest doing some more reading on the above steps.... its just an outline to get you on the right track.