You will need a working gcc environement. In linux, it's usually installed with your distribution, in dos you will have to install djgpp, and in windows I advice to install mingw32.
For windows, get mingw32 from here, get the ``current'' branch preferably, and install gcc, MSYS, MinGW Runtime, MinGW utilities, MinGW, windows API, binutils, and make. Normally the windows api file contains what is needed for directx.
This guide is not for the complete beginer, I'll suppose you know how to compile things already.
In linux, all of these tools/libs should be available directly from your distribution, so will just have to install the development versions. In windows and dos, you will have to visit the web and in most cases compile the latest versions !
SDL : you can get the latest development version. For mingw32, it will be SDL-devel-1.2.x-mingw32.tar.gz probably ! There is no sdl in dos, you will get the old allegro sound driver. In linux the dev package is most likely available from your distribution.
Allegro : get the latest version available (not the so called ``stable'' one, there are usually more bugs in their stable versions than in their dev ones !).
libpng : for mingw32, I used the makefile.cygwin in their scripts directory. It produces the cygpng12.dll file, but it works fine with mingw32.
After you have installed all these tools, uncompress raine. Eventually you can edit the makefile if you want to make a debug version (z80 debuger included, and optional debug messages). The top of the makefile is heavily commented, you will only have to uncomment the options you are interested in.
If you don't edit anything, it will build an optimized version for your cpu. Just type make when you are ready, and that's all. In linux you might want to install it after with a ``make install'', but notice that the executable can be run directly from its source directory (just type ./raine).