If you're running
Debian, you can simplify this a bit by installing kernel-package (
apt-get update, apt-get install kernel-package). Do what
idoru says up to and including
make menuconfig, and then
make-kpkg --revision=Whatever.1.0 kernel-image
(The 1.0 in the revision name appears to prevent dselect from trying to replace your kernel package.)
/vmlinuz is going to become a link to your new kernel. Edit /etc/lilo.conf accordingly.
cd /usr/src
dpkg -i kernel-image*.deb
reboot
(The reboot is to start running your new kernel.)