This is to avoid problems in the future. You will need to choose all of the necessary options here, this can take a while. When you are done choosing the options for your kernel, you are ready to compile it. When the kernel is done compiling, you are ready to compile the modules. Now just reboot, and you should be using the new kernel.
Most distributions come with kernel that has most of the drivers compiled as modules.
That way you can easily add new hardware without going through this long process. Compiling the Kernel With Red Hat 6.