To compile your own kernel, you can use the stock zenwalk sources (available through netpkg, and corresponding to the latest official Zenwalk kernel) or vanilla sources (available on kernel.org. Download the .tar.bz2 archives if possible, not the tar.gz - that way you save kernel.org some bandwidth. Basically, the Zenwalk kernel (at least up to 22.214.171.124) is a vanilla kernel with reiser4 patches. If you don't use reiser4 on one of your partitions, you can safely take a vanilla kernel. If you do, and want other kernel sources, not available via netpkg, get the vanilla kernel and download the reiser4 patch from Namesys for the 2.6 kernels.
If you use kernel sources from netpkg, you can skip the part about extracting (and patching). read full article.