[ILUG] Compiling new kernel

[les davis]

Hi all,
I have installed redhat 9 on my machine and I want to update the kernel as I need it for some media apps. I have followed http://www.digitalhermit.com/linux/Kernel-Build-HOWTO.html#CONFIGURATION-2-6 to the letter but when I get to config stage it says to go to $cd linux but it just says that directory does not exist and when I try to $make mrproper it will not make anything, so I have hit a brick wall.
Am I going mad or missing something?
Also I want to bring up to the latest kernel 2.6.13, it is currently 2.4.20-8, do I have to do it in stages e.g. update it to 2.4.31 first then 2.6.x or can I just update it strait to 2.6.x?
Any help would be great, 
thanks
Les