Im Currently im learning up ARM programming, for a start im learning it
using the example given in WINARM compiler. I notice the example file to
make the  led blinking code requires .dep (dependency file) in order to
compile. May i know why the .dep folder is needed?  Thanks for your kind
help.

> May i know why the .dep folder is needed?
See the gcc manual (gcc.gnu.org), search for dependency generation.