I think you're changing your bios clock instead of the way your OS reads it. Windows reads the bios time. It's easy to miss the option in an initial setup, but mandrake asks if your system time is based on local time or GMT. If you select GMT when setting the time, it offsets the clock by whatever your timezone difference is. There are a number of scenarios you can imagine, but basically, you're telling Windows to read your bios one way, and Linux to read it another way.
So, to get it correct, you'll need to run whatever timezone program you use, and make sure this option is set the same way in both OSs. In control center/system, you can adjust your clock. After you pick your timezone, it will ask you if your bios is set for GMT or local time. In windows, make sure your settings are similar.