Usually, you have to unpack it in /usr/src dir, enter the newly created directory and configure it first: make config, make menuconfig or make xconfig (preferred), then make dep, make bzImage. Compile the modules by make modules and install them with make modules_install. You may have to deal with module configurations and dependencies here. Put the compiled vmlinuz into /boot dir and then depending on the loader (LILO or GRUB) edit corresponding config files (for LILO, you must run lilo for the changes to take effect)... Reboot if and when you are feeling lucky. :)

For more info, use google - there are tons of info on how to install a new kernel.

Cheers.

i have tried ubuntu 6.01, 6.06 & 6.10.  they all boot up fine from the livecd but when i try to install to disk from the desktop icon, the whole system freezes for hours.

 i tried always on my old laptop with pentium m centrino 1.5 Ghz , 256mb ram n 40 gb disk.

i wonder what i am doing wrong? 

http://kernel.org/pub/linux/kernel/v2.6/linux-2.6.19.2.tar.bz2

thk