Building the latest version from source
Building under Linux:
Make sure you have those dependency packages installed: libvorbis-dev, zlib1g-dev, libhunspell-dev, x11proto-record-dev, qt4-qmake, libqt4-dev, g++, libxtst-dev, libphonon-dev, liblzo2-dev, libbz2-dev, libao-dev, libavutil-dev, libavformat-dev. They can be named slightly different in different distributions.
Now, to check out the sources and build the program, do the following:
$ git clone git://github.com/goldendict/goldendict.git
Make sure you use qmake from the qt4 install. You can then optionally do make install under root to install the program system-wide, or just run it directly from the build directory.
$ cd goldendict && qmake && makeBuilding under Windows:
Use your preferred Git client (e.g. msysgit) to check out the source code from git://github.com/goldendict/goldendict.git. Then either do the usual qmake and make there, making sure the PATH is set right to your Qt and MinGW installation, or just try loading the .pro file in the Qt Creator. Note that there's no need to download any third-party libraries, as they are already shipped in compiled form with the sources.