Yes. When you installed the Mandrake bootloader, it installed LiLO in two stages: one is on the MBR (Master Boot Record) of the first hard drive, and then there is a configuration file on the Mandrake partition which tells LiLO what the menu should look like and where the boot files for the entries in the menu are (it's called /etc/lilo.conf).
If the Mandrake drive is not on the system, LiLO can't find this configuration file, and therefore cannot boot anything.
You have several options:
1) Restore the Windows bootloader (which will make you unable to boot Linux), and then transfer the Linux boot sector to the Windows bootloader menu so that you can boot Linux from the Windows bootloader menu: Instructions here
2) Use a third party Windows bootloader to manage both systems; some examples are Boot Magic (commercial; comes with Partition Magic
), System Commander
(commercial) or some free boot managers are listed here
3) Transfer/install LiLO to a floppy; in my experience this means you will always have to boot with this floppy in the drive. Alternatively, despite the fact that the kernel is likely too big to fit on a floppy, thus a normal boot disk cannot be made, there are workarounds for this problem: instructions for both these procedures (as well as how to make a bootable CD) can be found on the Mandrake 9.2 Errata page
4. Install GRUB to a floppy and use that to boot both OSes; instructions in the Grub manual
5. Use LOADLin to boot both OSes; instructions here
Hope one of these solutions works for you.