Do you want to install compiled yet kernel or personally compile it? If you want just to install, use your package manager. To compile the kernel, you need first to download it from kernel.org. Move to your /usr/src/, make a symbolic link to your karnel source with command:

ln -s /usr/src/kernel-version /usr/src/linux

Change directory to /usr/src/linux and make command:

make menuconfig

Configure your kernel and you can compile:

make all

And install it:

make install