First of all you have to get the kernel sources. Please have a look at the answer to »Getting the kernel source in Ubuntu«. It shows you where to get the sources. If you used the command apt-get source linux-source, you'll a tar.gz-file. You can double-click on it to unpack or use the command line:

tar xfz linux.tar.gz

You might also need several other packages. This command installs all needed:

sudo apt-get install git kernel-package fakeroot build-essential ncurses-dev

Now you should change into the directory where your kernel sources reside. If you downloaded it with git they might be in the subdirectory linux. Otherwise they are copied to /usr/src.

In the next step you should copy your existing kernel config file to the source tree:

cp /boot/config-$(uname -r) .config

And now you can execute

make menuconfig

and enter your changes. Please see also the site GitKernelBuild in the Ubuntu wiki for more advice.
After you saved your changes you can compile your new kernel:

CONCURRENCY_LEVEL=`getconf _NPROCESSORS_ONLN` fakeroot make-kpkg --initrd --append-to-version=-custom kernel_image kernel_headers

and if you enter ls .. you'll see some .deb files. You can install them and use your new kernel.