If you're running Mandrake with KDE, then simply move to the directory where you put them, and then click on them!
If, however, you want to learn a little bit more about Linux, then you want to use the RPM command from the command prompt.
Open up a terminal (looks a little bit like a dos box) and type man rpm. It can be a little heavy handed, but this is the command line program used to (un)install, modify, update, etc RPM files. At best, I think you should type rpm --install something.rpm. Best read the man pages myself aswell!