this is most likely because you don't have the -devel package of glib installed
lemme give you some real good advice: if you're using an RPM based system (which Mandrake is), avoid installing stuff from source at all time. Instead, try to install as much as possible by using RPM packages that were created specifically for Mandrake.
if you do wanna install from source however, install the glib-devel package that should be on your mandrake CD's
but trust me on this one, it's always best to exclusively use the packaging system of your distro