To the best of my knowledge, there should be a gDesklets package for Debian (there is for every other distro I'm familiar with, and Debian has packages for more apps than pretty much all the others).
So you really don't need to compile it from source. You could open a terminal, su to root and type apt-get gdesklets and that would most likely get it for you. Better yet, apt-get synaptic will get you a wonderful GUI package browser/installer, so you can install things much easier.
However, if you really do feel the need to compile gDesklets yourself, the usual order of commands is:
./configure (not needed for every install from source; usually there's a file called INSTALL that will tell you if you need it or not, but for this, you probably do)
Now, if I remember correctly (I didn't use gDesklets long, because though it was quite nice, it's a real memory hog), there is also a readme in the package that explains that in order to actually run gDesklets you need to have at least one of the desklets/modules also installed, and you run it with something along the lines of gdesklets --module_name. Once you have one module open, you can right-click it and load others, iirc.
And once you have the desklets that you want open, you can just save your session (certainly in GNOME, which is the natural home of gDesklets, as evidenced by the "g", and also in XFce, which I was forced to switch to in order to use the doggone things, since XFce uses less memory than GNOME) so that they load on startup when you log in.
But really, your best bet is to get the Debian package (since that will also install Python and the other requirements, if you don't already have them), and then read the readme, help or man pages to find the details of running the program.