It looks like you're trying to compile it from source (not just download it). On Ubuntu, at least for version 8.04, there is a binary package available. Look for it and you will avoid some headache trying to compile from source (at least for now).
You have different methods to search and install packages on Ubuntu. I suggest to launch the Synaptic package manager (look for it in the System --> Administration menu) or eventually you can try the command
sudo apt-get install supertux
from a terminal.
If you really want to compile the source code, do as suggested from the configure script: "Try using the native package manager for Ubuntu 8.10 (apt-get) to install a package with similar name to 'sdl_mixer'". Or use the aforementioned synaptic.
And please, do not use huge characters in your posts... it looks like a shout!