Please check first, but I doubt that Mandrake includes the wxWindows headers and library.
If not, then before you try to compile xmule, you will need to download the wxWindows library and development files from
http://www.wxwindows.org/dl_gtk.htm#stable
These are available as rpms so that saves you the effort of compiling the source code.
Once you have installed wxWindows, you should be able to do a ./configure, make, make install from the xMule source code directory.
And please be assured that it is worthwhile installing xmule, although not complete with all bells and whistles yet, it works very well and has a good user interface.