I finally be able to compile redsocks doing this:

For others newbies:
-> downloading libevent-dev_2.0.16-stable-1_armel.deb
( I got it using "apt-get install -d libevent-dev" from the phone, the downloaded file is in /var/cache/apt/archives )
-> extract the files of the deb using dpkg -x &
copy them to C:\QtSDK\Madde\sysroots\harmattan_sysroot_10.2011. 34-1_slim
( i'm using the lastest QtSDK for win)
-> using madde terminal (C:\QtSDK\Madde\madde.bat -rxvt),
-->cd redsocks-master (i get it directly from github repo)
--> edit Makefile: add "-lrt" to CFLAGS
--> mad make

some links:

https://www.tbi.univie.ac.at/~xtof/N900/vpnc-N900.html
http://webcache.googleusercontent.co...&ct=clnk&gl=ar
http://www.thegeekstuff.com/2010/04/...ract-packages/
http://stackoverflow.com/questions/1...static-linking