not without the right tools
What they are talking about is taking the iso images and creating a new iso images including all the extra install files in the install files folder in the original cd or something similar, usually the process is similar, but may include multiple folders for the different cd's it varies from distro to distro.
If you're trying to get all these into one dvd before installing. I would recommend just burning the different cd's or using ftp to download the dvd image. Unless you are a major windows hacker that has iso editing tools for windows, I would wait to build your dvd until after having your system built. The other option is to search online for one of the online stores that sells cd's and dvd's of the os. Mandriva might even offer it for sale. That way you can get your dvd without the download.