Since this is Mdrake, I would suggest you first set up URPMI on Mandrake. This is the package manager for Mandrake. Once set up, do a search from XMMS and install it.
Here is the link for setting up URPMI
http://www.mandrivausers.org/easyurpmi/index.php
Once this is done, you URPMI will install the packages you want, and look after all dependencies.
The tar.gz file you downloaded is a source file. You would need to install the development tools in order to compile the source code into executable binary files.
