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Dependencies are pieces of software that are required to make another one (fully) functional. For example, imagine you have an audio player. Such a player is just an interface, a collection of toolbars, buttons, etc. In short, it has not got any playback capabilities - if you do not also install software that takes care of that (an audio library, codecs, etc.). Similarly, the graphical user interface itself may depend on separate graphical libraries.
Now that separation makes sense. One piece of software may be used by multiple applications so why install it more than once? Additionally, centralization means that a system is easier to maintain as well as (at least theoretically) more secure. If a bug emerges, then only one package needs to be replaced; you do not have to worry that, somewhere on your system, there is another copy (if not more than one) that does not get patched and that keeps exposing your system to security risks.
The same thing is in Windows, but it's not taken care of automatically, and seems to be less prevalent. How many programs need XP SP2+ to run? Or .NET 1.0? Or the C++ Redistibutable runtime package? Or Java, even?
I second what amani and AlucardZero have said; indeed, most package managers have been *developed* to handle dependencies.
If you want to check AlucardZero's notion, install something like RealPlayer on a freshly set-up WinDoze machine and compare the number of files on your drive before and after this; especially instructive is the number of .dll files... (they're a close equivalents to libraries on GNU/Linux systems...).
In that sense, most of this dependency stuff *is* handled automatically on WinDoze - you're never asked or informed about it, your machine gets loaded and clocked with stuff, and after a while you wonder what has happened to your system. To get rid of all that cruft with WinDoze, you have to reinstall - on a GNU/Linux, if you don't need them any more, you can remove them. But essentially, while in WinDoze, most of that stuff gets preloaded and thus bogs down system performance, in GNU/Linux they mostly just sit around. Not too good, either, but no nuisance at all.