The way I see it, you have one of two problems:
1. Partition Magic is somehow, someway preventing Linux from installing GRUB (it's boot loading software) or causing Mandrake to bypass that install. As I am not familiar with partition magic I can only guess that the problem is in either the partitioning phase or in the bootloader phase - keep in mind this is a guess but it couldn't hurt.
In the partioning phase I would suggest manual partitioning. Make three linux partitions(don't touch you windows partition): a 75-150Mb partion with ext2, or linux native, file system and mount it as
a partition twice the size of your ram with the swap file system (this won't get mounted, this is the equivalent of virtual memory in windows ... RAM overflow in a sense) and the rest of your disk formatted in ext3 and mounted as
I'd also choose GRUB (GRand Unified Bootloader) as your bootloader.
2. If that doesn't work I can only guess that your installation media might be corrupted. You might try downloading the free version of Mandrake or Fedora or SUSE.
Just remember, Linux is a learning experience.