That's normal. I also had lot's of trouble when I started using Linux. I think all distributions should show, right after you install them, a very big screen with simple instructions about how to use the OS talking about the most basic tasks to be done with it.
I have no idea why after so many years they still don't do that. The user that never used it before becomes completely lost.
If you still want to know how to install the dependencies on Mandriva 2007, it's very simple:
1 - Google for easy urpmi
2 - Go to the easy urpmi using the link you found doing <1> and configure your urpmi. Configure a main and a contrib repositories. You don't need the rest. The website will give all other instructions you need.
3 - To install any package you ever need, open a terminal, type su to change to root and type:
urpmi <package name>
In the case of lazarus you would be doing that with the pixbuf packages