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The first version known to work with preview-latex is Emacs 21.1. Since preview-latex heavily exercises newer features, getting the latest release is a good idea. Developer versions of Emacs 22 are mostly preferable to the released versions of Emacs 21 due to performance and handling reasons. XEmacs (21.4.15 or later, but not the withdrawn 21.4.16) is supported nominally, but is not particularly recommended because of handling, image quality and stability reasons.
There is additional information for Windows installations in See Installation under MS Windows.
AUCTeX can be found at http://www.gnu.org/software/auctex. This site now provides up-to-date tarballs as well as RPMs. At the time of this writing, the latest version is 11.55. You need at least 11.51 to support PDFLaTeX; versions older than 11.14 are not supported any more.
Preview should work with nearly any LaTeX installation which contains dvips, though most testing has taken place using teTeX-based distributions.
This is not really needed to install the package, but will be required for stable operation of it. Most versions of GhostScript nowadays in use should work fine (version 7.0 and newer). If you encounter problems, check Problems with GhostScript.
texinfo package
This is needed for building the documentation. At least version 4.0 is required. If you don't have this, you may download a separate tar file with the prebuilt documentation from Sourceforge and install it over the main unpacked tar archive.
For some known issues with various software, see Known problems.