Kppp should be on your distro CDs - I think it'll be under an rpm similar to 'kdenetwork'.....if it's there it should also be under the start menu > networking > remote access submenu.
As you've got Mdk, open Software Manager and type kde in the installable field - it should show the relevant packages, including the 'devel' rpms that contain the headers you need.
BTW, unless the package you downloaded is a Mandrake one, I'd use the package that came with the distro, otherwise you may find other dependency problems
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