common problem this..
what sort of machine are you using (desktop or laptop)?
if it's a desktop, take the lid off and check that there is an audio cable fitted between the cd drive (or one of the drives) and the soundcard - ie, there should be three cables in total: power, IDE and audio.
KsCD needs this audio cable.
Alternatively, you could use Xine or XMMS to play your CDs - these don't need the cable because they both extract the audio data over the IDE bus. Both programs are available for installation using Mandrake Control Center and should be on your CD set. Once installed, they can be found under 'multimedia' on the main menu (xine will be in 'video' - it's primarily a video player). In all cases, if you have more than one CD drive, you'll want to make sure that you put the disk in the drive that the software is expecting to use - it can be set in program options, but as a first go, try both drives and see if one of them works!
Regarding installation of programs, hopefully you should find everything you require on the Mandrake CD set, easily installable from within Mandrake Control Center. I'd advise this approach to start with. Linux being 'open source', you can also download the programs as 'source code' which then needs to be compiled and installed manually. It isn't necessarily difficult, but can be off-putting at first; so while you find your feet, go for the easier option...