Most often there is a reason for you to compile your own kernel. First, you might have some hardware not supported in your current kernel, forcing you to compile your own. Second, you might want to compile your own kernel because the one you have has too much hardware support compiled in. Recompiling your kernel will make it smaller, taking upp less memory. On todays computers that's often not a problem, since they have enough memory anyway.
Security is another aspect.
Sometimes some security related bug is found in the kernel code, and a fix is released as a patch or in the next kernel release. When you recompile your kernel your computer won't be vulnerable to that security problem any more. A C compiler You need a c compiler with friends. To be more specific, you need the GNU C compiler, gcc. Try gcc at your command line.