Safest and easy way is to open up your package management application (the one you use to install and update software on your Mandriva) and see if there is a kernel update available. If not, then you are probably best off compiling one on your own - first install the compilation tools required (compiler, linker, make utility, ...), then obtain the kernel version you need from kernel.org, extract the kernel source code and read the README (and INSTALL, if present) file from the extracted directory. That file contains the instructions you need to follow to be able to compile and install the kernel. After that alter your bootloader configuration to include the new kernel (/boot/grub/menu.lst or /etc/lilo.conf for example).
If your current kernel works fine, you don't have an explicit need to upgrade it (for example because you have hardware that isn't supported by your current kernel) and especially if your distribution's official reposity doesn't provide an upgrade, you're probably better off not upgrading it before you've read a little more about the subject - the README file is good that comes with the kernel source code (from kernel.org for example), and there are good tutorials all over the internet too. If you are in a situation where your current distribution does not provide a kernel upgrade, but a newer version of that distribution does, then consider upgrading your whole distribution.