I am assuming you are talking about RHEL 4 since this is what you tagged it. To upgrade the kernel you need to install the Kernel you want to upgrade to. Red Hat provides all the download via their web site in rpm packages.
You first may want to check which kernel you are running via:
#rpm -qa | grep kernel
You will then want to install the new kernel. I suggest you install and not upgrade the kernel in case you have problems with the new kernel. This allows you boot into the old kernel if needed:
#rpm -ivh kernel-(versionnumber).rpm
After installation you will need to reboot into the kernel. If everything goes well and you need to save some space you can remove older kernels via this command:
rpm -e kernel-(versionnumber)