Where do you get to?
Try running mcc from a command line to get to the Mandrake Control Centre.
After Configure, click the OK button to get the list of OSs Lilo knows of.
FYI If Mandrake requests the cds, it's because it's trying to install acpi due to a tick box seemingly always reverting to Enable acpi, which you might not want. Check your /etc/lilo.conf settings before all this to see if the append lines have 'acpi=off', and check if you have the acpid service running via DrakServices.