1.) Defragment then resize your hard drive with windows if you havent already. (Creating free space for linux)
2.) Need at least 2 new partitions (swapfile and install). I would use the linux installer to add new partitions because it will format them for you too. Be careful not to wipe xp though. Would recommend probably around a 1 gig swap partition.
3.) Follow instructions on cd and install. I think is sets up the bootloader menu but am not entirely sure (Have never tried Mandriva).
4.) Reboot and select operating system.
These are the basics. Let us know when you need more detailed info. Hope it helps and Welcome to Linux
also duplicate thread:
note: linux generally uses minimally 2 partitions 1 for swap and 1 for the install. You say you already have the max 4 will probably want to resize them or you can delete 2 and let the installer partition them.