I sound's to me, like your system is still expecting to see the file available from the CD rom.
Mandrake normally uses "Supermount" with data cd's and it would appear that for some reason hasn't unmounted the disc automatically.
One thing you could try would be to open a terminal/konsole and try to unmount it yourself.
$ umount /mnt/cdrom2
that might work, or if it won't let you do it as user, then
then enter that, input your root password and then try the umount command (oh and don't forget the $ bit in the code quotes is just the user prompt that should already be there - unless you managed to change it to something else).
After that do a reboot and see what happens - if it's got rid of the prompt, fine but you'd have to work out if you can then just put a data cd in as normal and search it via konqueror (or nautilus if you use gnome) and then take it out (again normally) to see if the prompt has re appeared or not.
If you can't search the disc, you may find that you have to manually mount data cd's - instead of umount, you'd just use mount /mnt/cdrom2.
You may also find that instead of calling the device cdrom2 your system may call it something else - for instance various linux versions I've tried, some have called it /dev/hdb or /dev/scd0 (which is a throw back to the day's when cdrw's needed scsi emulation to do the disc writing) or it could be called /dev/cdrom2 (notice the difference of the first bit /dev instead of /mnt).
Unfortunately it depends on how you machine is configured/wired up etc I only have to remember because i have a dvdrom and a cdrw - my system is wired so that I can only play audio disc's from the cdrw (only one audio lead to the sound card), but if I use a data cd the dvdrom is called either /dev/cdrom or /dev/hdb and the cdrw is either /dev/cdrom2 or /dev/scd0
Sorry if that all sound's a little confusing. It is, to start with, but once you know a bit more about how your machine is set up/configure/wired up it becomes clearer.
p.s. The supermount facility, when first brought in, was know to cause minor problems with some systems - if you searched LQ for supermount it'd probably tell you how to go about disabling it - that if it appears to be the root of the problem - but then you would have to manually mount and unmount data disc's (a bit like you have to do in some other distro's)