You need to make sure your laptop is set up to boot from the CD. To do that, enter the BIOS and make the change to the boot order so that cdrom comes before the hard drive in boot order. Then insert the Mandrake CD and reboot the computer. You don't need to use the autorun feature in windows. I have Mandrake 9.1 installed on my Dell Inspiron and it works great.
In addition, I would *strongly* encourage you to use Mandrake 9.1 instead of 9. It has better power management for laptops and lots of bug fixes. I upgraded from 9 to 9.1 and it made a lot of improvement. If you don't want to buy a boxed set, you can download the 9.1 iso's, or purchase the download edition from www.cheapbytes.com