I am not familiar with CentOS. It looks like apt is available for it:
http://centos.cs.ucr.edu/centos/centos/4.0/
But browsing through the directories it would appear the latest kernel built for that OS is 2.6.9-xx. I don't personally like to compile kernels and just let the distribution maintainers do it. Then I just "apt-get install kernel". Can you not use the binary RPM or do you just want to try and compile it for the exercise? I don't know how compatible the Red Hat version of the kernel is with CentOS but you can certainly try it. If you just want to compile a kernel then go for it, or download the latest stock kernel from
www.kernel.org and compile that. Here is my kernel build document:
http://voidmain.is-a-geek.net/redhat/fe ... build.html
Of course as you can see it's from a Red Hat perspective. If it works great, if not I probably can't be of much more help.