Thanks for the reply, falco.
The link deals with the case of manual kernel compilation steps.
My initial question was about the case that the "Software Update"
app. detects a new kernel version, I select it to be updated (alone
or among other SW) and the "Software Update" does all the task
of compiling a new kernel (I guess it's compiling, not downloading, right?) and
adding a new entry in the /etc/grub.conf automatically. What I would like to
know is where the "Software Update" app takes the kernel configurations
from when it automatically creates a new kernel so I'll place my own configuration
file instead of the one "Software Updates" uses?