It certainly could cause you problems.
Typically the GUI installers aren't too smart about finding other *nix installs. They generally seem to find Windows variants o.k.
So, if you allow the new distro to install into the MBR of the primary hard disk (probably the default), you'll generally find you have access to your new install, and Windows.
You would then need to add an entry for the "lost" distro. Hint - back up your current lilo conf file before you start; although it should be safe, and not too hard to find.
I prefer to not allow any boot-loader installation once I have a working environment. Do the install (minus boot-loader), and simply add an entry for the new distro to your current conf file.
Less likely to get nasty surprises.
Above advice offered without direct Mandrake knowledge.