I run the 2.2.10 kernel (at this moment in time) and all instructions here presume that exact tar-ball of code.
(But, most any 2.2.X-ish kernel will probably work just fine)
Generally follow the standard procedure for building a kernel. ("make dep", "make modules", "make modules_install"). EXCEPT: The kernel you boot on Visual Workstation is simply the one created by "make vmlinux" (do NOT "make bzImage", do NOT "make zImage", do NOT "make zlilo", etc).
The arclx.exe bootloader knows both plain ELF (no gzip or bzip here) as well as EXT2FS.
No "lilo" phase or anything. Just copy "vmlinux" to a location consistent with the Boot Selection in the boot firmware.
Here is a tarball of source code from which to build arclx.exe.
Here is a specially compiled ld which generates the pe-i386 format. (This was made from GNU's binutils 2.9.1 after first running "./configure --enable-targets=i386-winnt". The program itself is normal Linux ELF).