cd /usr/src/
wget http://www.kernel.org/pub/linux/kernel/v2.6/linux-2.6.22.9.tar.bz2
tar xjvf linux-2.6.22.9.tar.bz2
cd linux-2.6.22.9
zcat /proc/config.gz > .config
make oldconfig (just take the defaults for the questions it asks)
make menuconfig
now make your changes and save your config using the save options in menuconfig
make && make modules && make modules_install
cp /usr/src/linux-2.6.22.9/arch/i386/boot/bzImage /boot/2.6.22.9
then edit /etc/lilo.conf to add a new block for that image
then run lilo -v