You don't need CD 4. I only have 3 CDs (community Mandrake).
When you originally installed, it asked you what all you wanted package-wise. Maybe you didn''t change it. I noticed the default is KDE or both KDE and Gnome. Put CD3 in instead. Keep playing with disks until you get the one with the packages (should be #3). I made sure to exclude KDE and just selected the gnome package because I knew I didn't want to use KDE, but no, you don't need #4. I have no clue what's on that one :)