urpmi is a tool similar to Debian's apt-get tool. Its designed to install a file and all the files it depends on to work. As opposed to the Windows way, where software developers package all the .dlls and .vxds they use in the program, only to replace any that are already in the registry and system32 folder (or bloat it), Linux usually follows a philosophy of installing only what's needed, which is why there are dependancies.
You don't necessarily have to use urpmi directly. You can use RPMdrake and click your way to an install, but the command in the case is faster.