To the best of my limited knowledge, if you've got all the various desktops installed, you should be able to just log into the different ones.
That would be if you haven't got the "start with whatever" option selected.
Personally I usually have KDE and Gnome installed so that I can get all the Qt and Gtk libraries and meddle with all the games and web editor type stuff.
p.s. if you haven't got it all installed you should be able to install in from the mandrake control centre (configure my computer). And if you find that you're not too sure if or what is available for installation, go to easy urpmi
, read the page and follow the instructions, then wait while it does it's thing - the open the MCC and install whatever you need via the software manager.