If your computer is old (more than 5 years) it may not be able to boot from CD. The BIOS can have an option to boot from CD, but that might only work with a few models of CD-players. I've gone through that purgatory with an old computer once. It involved pulling hair and use cursing.
Then I made a boot floppy...
I think that there are some utilities on your Mandrake CD to make a boot floppy from Windows. Try explore your CD from Windows.