Note that I write this from memory; I could make a mistake. We're not responsible if you damage your server by following my instructions posted on this forum. We're happy to do the work for you as a commercial service, and of course we guarantee our work.
That said ...
Generally exim is installed on a CentOS machine by an RPM. You can remove an RPM install on CentOS by first making copies of your exim.conf file (if you need your custom changes).
Code:
# rpm -e exim
Then you can reinstall it using one of the exim RPMs found here.
Code:
# rpm -ivh /path/to/your/local/copy/of/exim.rpm
BUT ...
The subject of this thread is how to recompile exim. Do you really want to compile it on your system? It's resource intensive and will take a while.
If so, instructions can be found here. Afterwards you'll need to get the exim.pl DirectAdmin uses from here, and you'll need to either reinstall your exim.conf file from your backup, or download (and customize a new one from either here or here.
There are some notes here. Note that you have to do a special compile against non-open-source code. And that at least one person says it doesn't help get through the Yahoo filters.
Help you do what? We can install anything you want on a Linux-based server, as a commercial service. Or do you want advice on something? If so, on what?