Umm, wow, I haven't personally used makedepend for over a decade, so I'll have to respectfully refer you to the man page. From what I remember, it's as simple as giving it a list of header files to parse though, and optionally your include path.
You could add makedepend as a prebuild command (Project > Project Properties, Build tab), that would make it pretty transparent, but kind of expensive. Otherwise, I would just go to Project > Project Properties, Tools tab, and add makedepend as a new project tool. Some people like to add a "depend" target to their makefile so that they can just run "make depend" from the command line.
Hope this helps. Note that we have added a feature request to our tracking system to add header file dependency tracking to our generated makefiles, but it is not trivial, and not yet scheduled for a release. We do recognize that there is a fair amount of demand for it however.
Note that if you change your Build options to "Build without a makefile", using our build system (vsbuild), it will take care of header file dependencies for you transparently. Most people using makefiles prefer them because they know they can build with the makefile outside of SlickEdit or that you know that everyone has make, so it's easier to distribute to different team members (if there are some members of the team using another editor). What most people don't realize is that vsbuild can be invoked outside of SlickEdit, and that the vsbuild executable does not require a license, so you could make it available to other team members and use vsbuild (which handles dependencies very well) instead of a makefile.
