Hi there snoopyswiss!
There's no such a program that will check and install dependencies after the ./configure, as far as I'm concerned. However, if you are willing to stick with .rpms though(which is wise to do when using a rpm based distro as Mandrake), Mandrake has a great tool called (g)urpmi. It goes as easy as double clicking into an rpm and Mandrake will install them for you. If dependencies are found, it will either ask for your disks or download it from an ftp.
I highly recommend you downloading the packages from the ftp instead of using the disks.. it's just more practical. Take a look in here:
to get started with Mandrake's urpmi and here:
to get a good understanding of how to install programs in Linux and finally in here:
to find a lot of cool packages for Mandrake, including game emulators, if you are into those things