To install your own kernel with this patch, you have to follow a few guidelines - to make it easy, lets use the existing configuration of the default redhat kernel, but lets use 2.4.19.
1 - Go to www.kernel.org and download the full 2.4.19 kernel source.
2 - Go to www.grsecurity.net and download the newest patch for the 2.4.19 kernel.
3 - Unzip or gzip or bzip2 your kernel to /usr/src/linux-2.4.19/
4 - Apply the grsecurity kernel patch by going into your /usr/src/linux-2.4.19 directory and running `patch -p1 < /path/to/grsecurity-patch`
5 - Do a `make mrproper;make clean` just to be sure you are starting out fresh
6 - Copy your current kernel config to this same directory (as .config): `cp /boot/config-2.4.* .config`
7 - From console do a `make menuconfig`, from X windows do a `make xconfig` - go to the bottom of the options where the grsecurity stuff is, and select what you want - you can choose `medium` or `high` security if you don't want to do much work.
8 - Save this config, and then build the kernel by doing a `make dep;make modules;make modules_install; make;make install` (you can do those separately if you wish - probably better the first time.)
9 - If it compiles correctly and installs correctly, make sure your grub.conf file is edited, and re-run `grub-install /dev/hda` just to be sure your bootloader is up-to-date.
10 - Now if you have chosen PaX protection, you should head over to http://pageexec.virtualave.net/ and you should download the chpax.c utility. Compile this by doing: `gcc -o chpax chpax.c` and make sure your XFree86 binary has page_exec turned off - else your system will hang when trying to boot into X windows! To do this type: `./chpax -p /usr/X11R6/bin/XFree86` and you should be all set.
11 - Reboot! You will have two choices of a kernel, the -grsec kernel is the one you want to try out now.
Keep in mind that you WILL have problems with java if you use PaX - and maybe some other things, you will have to turn off page_exec on all java binaries from Sun the same way you did with XFree86. (java, javac, etc.)