I guess i'm not the only one having this problem as a newbie. In a nutshell,
I download a program and when I try to install it, it complains about some dependencies "I need A,B and C". I go and download those dependencies and once again some dependencies complain about more dependencies .
Is there any systematic way to download a software and its dependencies? ?? or cant the developers put the whole package in an archive and place it on their sites??

Yes, many package managers can assist you. Yum, apt, apt4rpm, urpmi, portage, etc. It depends on which distribution you have. Which, you didn't post sadly.

my computer is not connected to the internet (in the mean time i cant have an internet connection) and my system is mandrake 10

Mandrake has a script called 'urpmi' for installing rpm packages. If you have all of the packages you need to install, you can include all of them at once on the command line. This may resolve the problem when package A needs packages B and C, while package C needs package A.

Use auto completion ( type the first few characters of the file name and press the tab key ) to include the complete file name when installing rpm files in a directory not on an install disk.

If you have a newly installed system, it is normal to need to install dependencies for common library files. As you install new programs later on, these libraries and programs are already installed.