Yeah, in Slackware you'll probably have to copy the kernel to your /boot directory manually and update the lilo.conf manually (like you used to have to do on all distros). Here is a thread on Slackware and kernel compiling:
http://www.linuxquestions.org/questions ... adid=49035
You probably want to look closely at the last post on the first page on how to create a compressed kernel and where to copy it from. There are also examples for the lilo.conf in that thread. Let me know if you need more specific help (actually a current Slackware user could probably help more on the subject (m0r comes to mind)). It's not really distro specific when it comes right down to it though. There is also a Kernel HOWTO on TLDP that appears to be off-line at the moment (there are surely copies of it out there if googled for).
But the best advice I can probably give you is to read the README included with the kernel source. You will find it in the root directory of the extracted kernel directory tree. It's short and really is a must read to also make sure you have all the other required packages up to the proper levels.