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Distribution: Debian GNU/Linux with XFCE and packages from "testing"
You can still install *.deb packages with dpkg -i. You can search and download for packages here: http://packages.ubuntu.com/. (I guess you download software from another PC and then copy it to your Ubuntu box; then you won't need to expose your Ubuntu system to the internet). I personally think that installing from source is a harder way than installing packages (*.deb files or automatically with apt-get etc.).
BTW the package that contains the mentioned library is here, it seems that it's generally needed whenever you compile from source, yes, even when you want to compile libmpfr.