Dependencies are now available from http://zengine.sourceforge.net/dependencies/
ZE_dependencies_src.tar.bz2 is the source to the LGPL dependencies.
ZE_dependencies_VC.zip contains prebuilt dependencies for Visual C++.
ZE_dependencies_wing++.zip contains prebuilt dependencies for GCC based 
compilers (such as Dev-C++).

The home pages of each can be found:
SDL 1.2.6 (http://libsdl.org)
SDL_image 1.2.3 (http://libsdl.org/projects/SDL_image/)
SDL_ttf 2.0.6 (http://libsdl.org/projects/SDL_ttf/)
SDL_mixer 1.2.5 (http://libsdl.org/projects/SDL_mixer/)