Hi, welcome to LQ
This is a 2 step project, so let start with the VM part. You could actually clone the disk into your physical target disk, but this is stupid. Better do a clean install by downloading the CD or DVD. I also suggest using Ubuntu instead of Mandriva so you can follow this (great) guide http://ubuntuforums.org/showthread.php?t=716192
. This guide help you build a very nice router, but you have to understand that managing a Linux router using the command line is powerful, but also (very) complicated if you never did anything like it. There is a few great Linux or BSD based firewall ready to install / use. My favorite one are PFSense and OpenWRT.
I use a Linux box as router, just as you want to. It is awesome and my knowledge of the linux command line interface allow me to do some crazy stuff, but it may not be the easiest way to learn Linux. Using a preconfigured router distribution is much easier.