I don't use Mandrake, so I can't tell you the exact answers. Conceptually though, here is what you need to do:
- Put 2 NIC's in the Linux box
- 1 NIC should be configured to connect to your ISP (external)
- 1 NIC should be configured with a private address (internal)
(192.168.x.x, 172.16.x.x, or 10.x.x.x)
- Enable IP Masquerading and NAT (search for HOWTO's, check http://www.linuxquestion.org
- set the Default Gateway on the Windows machine to the internal interface on the Linux box
Another variation would be to setup an internal DHCP server so you don't have to manually configure any machines you plug in to your internal network.
That should get you up and running if you can figure it all out!