Well, you could also jsut get the kernel from the various kernel mirrors around. They are always the fastest. However, a bit of Linux/Unix experience would be great.
Here are some hints to help you getting started. If you like more details, please follow up this thread.
1) Get the latest kernel from a mirror near you. The files are called something like "linux-2.2.12.tar.gz"
2) It might be a good idea to keep a few sources as backup. Normally, the sources are installed in a directory called after the version number and then linked to the "linux" directory. I always do it like this:
- cd /usr/src
- rm linux (this only removes the link!)
- tar -zvfx /tmp/linux-2.2.12.tar.gz
- mv linux linux-2.2.12
- ln -s linux-2.2.12 linux
3) Change to the linux directory and run "make menuconfig" or "make config"
4) Answer all these questions (you might want to copy the ".config" file from the old linux kernel source dir to the new dir to speed up things.
5) Build your kernel (also see README):
- make dep
- make clean
- make modules
- make modules_install
- make zImage
(or, for the lazy ones: make dep clean modules modules_install zImage)
6) Copy your new kernel from /usr/src/linux/arch/i386/boot/vmlinuz to /boot/vmlinuz-2.2.12. Also copy the System.map
7) Update your /etc/lilo.conf to include the new kernel (you might want to keep an old kernel at hand in case something goes wrong). Don't forget to run lilo!

Cross your fingers and reboot your machine.
If there are any questions left, please read /usr/src/linux/README for some hints. Also, during the config process, there is a lot of help available. If there are more questions left, I'll try to answer them.
Good luck!
bibi,
arthur