The boot disk you are using probably does not have scsi support built into its kernel image. The easiest way to fix this is to simply select another boot disk image to use from the mandrake cd (or ftp site). Read the README file in the boot disk directory, it should have some pretty good documentation on which boot image has support for what. Chances are there's a couple different boot disk images with scsi support. This is probably the eaiset fix, but there are others.
You could insert a module with scsi support into your kernel while the system is running. To do this you need the name of the module, which you can probably find by reading the file:
it has pretty good documentation in it and should have a section of scsi modules. Once you have the name, as 'root' you can use the insmod or modprobe command to insert the module into the kernel while running. Read the Man page on these commands for more info on them. Then you can check to see that the module is running by issuing the 'lsmod' command to list the loaded modules. The beauty of linux is that you can make these kind of system changes and not have to restart the system, unlike windows where you have to restart most of the time after you add a program or change a driver.
If you are planning on dual booting from a boot manager (meaning you won't have to boot from a disk anymore) you can simply edit the rc.modules file and uncomment the module to make sure it is loaded everytime the system boots up. See, only insmod or modprobe can add modules to the kernel while the system is running but that means you'd have to load the module everytime you restart the system. editting rc.modules (/etc/rc.d/rc.modules) will make sure the module is loaded during bootup, but will not make a change to the current running system.
If you want to use a boot manager, i'd recommend GRUB or LILO. I've used both and both are good. GRUB is newer and probably easier but lilo is the tried and true method. However, i'd probably recommend GRUB over LILO, it's your call.
The one thing i'm not sure of is whether or not editting the rc.modules file will have any effect on your system because you are using a boot disk. When you use a boot disk, a kernel on the disk is loaded and that's what runs, i do not know if it ever accesses the rc.module file or if it hands control off to the kernel on the hard disk. I don't think it does either, but i'm not 100% sure on that so i'll need help from someone who does know. Most likely it doesn't, it wouldn't make sense to.
Anyway, sorry this is so long. I just like thoroughness when i'm trying to figure something out and also like to know what is actually happening to my system when i make a change. Hope it helps! Good luck!