2) Mandrake Is quite good for your first distro. You might want to check out Knoppix though, which runs completely off a disk and doesnt touch your hd. Its good if you dont want to put stuff on your hd.
3) Its fine. I have both mandrake 10.0 and XP, and you just get a bootloader when you startup which asks which OS to start.
4) Nope, its quite simple.
I was the same as you a while ago. It was very scary for me moving to a whole new OS, I was nervous I would install it, get in there, have no idea what to do, and accidentally format my hard drive, lol. But really, with KDE or GNOME (Both are GUI's which basically put the icons and start menu on linux, if you didn't know), it is not too hard to use. The most difficult part to me is file management, such as not having a C: drive with things like "My Computer" and stuff like. After a while though, you will get used to it. Hope I could help, and dont be afraid
EDIT: whoops, my fingers move too slow, you already got all the info