There are a lots of long tutorial out there... so for a change I'll try to make it as short as possible, like a quick reference.
Anything between quotes, you type.

- Get your kernel sources and extract them to /usr/src/linux-2.6.xx
- cd to that directory
- "make menuconfig"
- edit configuration
- "make clean"
- "make bzImage"
- "make modules"
- "make modules_install"
- "mkinitrd /boot/initrd-2.6.0.img 2.6.0"
- "make install"

Voila! Not so complicated after all...
initrd - old fashion
use initramfs, at least u dont waste ur ram

i dont use it at all (initrd/iniramfs) - why? compile IDE/SCSI in kernel, and rest on the disk