Firstly, set up urpmi sources.
Go to one of the easy urpmi sites such as http://easyurpmi.zarb.org/
and follow the instructions. Choose a source for main and contributions, also for PLF Free & Non-Free.
Then installation of an rpm file that you have downloaded can be carried out in several ways:
1. as root, type 'urpmi /directory/containing/filexxx.rpm
2. click on it in e.g. konqueror, a password request will pop up, put in root password.
3. in the menu, go to System >> Configuration >> configure your computer >> install software. Then choose the application you want to install, click on install.
Whenever possible, use applications configured for Mandriva, use sites like rpmfind.net if they aren't on the mandriva or PLF mirrors