Compile Kernel[-][- -][++]

Install needed compilers

# apt-get install build-essential

Get Your desired kernel version

$ cd /tmp
$ wget http://www.kernel.org/pub/linux/kernel/v2.6/linux-x.y.z.tar.bz2
# tar -xjvf linux-2.6.25.tar.bz2 -C /usr/src
# cd /usr/src/linux-2.6.... (the new linux folder)

If you want your current kernels config, you can run # make oldconfig
which should create a .config file in /usr/src/linux2... I believe its the same one as the one in your /boot (current config), but double check that. Or else to be sure you can just copy /boot/config-2..., to /usr/src/linux2.../.config

Now look/edit the config either by editing .config or running

$ make menuconfig - Text based color menus, radiolists & dialogues. This option also useful on remote server if you wanna compile kernel remotely.
$ make xconfig - X windows (Qt) based configuration tool, works best under KDE desktop
$ make gconfig - X windows (Gtk) based configuration tool, works best under Gnome Desktop.

I use menuconfig, now save and edit

Compile Kernel (make sure still in /usr/src/linux2... folder)

$ make
$ make modules
$ su - (to become root)
# cd /usr/src/linux2.6...
# make modules_install

Install kernel (installs 3 files to /boot, System.map-xx, config-xx, vmlinux-xx, just kernel stuff, not initramfs yet)

# make install 

Create initramfs (sometimes the command is mkinitrd ...)

# cd /boot
# mkinitramfs -o initrd.img-2.6.xx 2.6.xx (sub your kernel version of course)

Now update your grub menu.lst, you can either edit manually, or just run

# update-grub