Before you compile your kernel, you need to configure it. Configuration is your opportunity to control exactly what kernel features are enabled (and which are disabled) in your new kernel. You'll also be in control of what parts get compiled into the kernel binary image (which gets loaded at boot-time), and what parts get compiled into load-on-demand kernel module files.

The old-fashioned way of configuring a kernel was a tremendous pain, and involved entering /usr/src/linux and typing make config. While make config still works, please don't try to use this method to configure your kernel -- unless you like answering hundreds (yes, hundreds!) of yes/no questions on the command line.