You understand urpmi right (I see you have the standard easy-urpmi entries), and you took the right steps.
Unfortunately, commercial companies' support for Linux is still largely "experimental". So far, some agree to distribute Linux versions of their products, but we're still far from the day when those companies all will provide urpmi/apt/whatever entries...
- If the file you downloaded is a RPM file, you can run
- If the file you downloaded is not a RPM file, you can transform it into one with checkinstall.
No automatic update in either case though.
[edit:]Go and see the Mandriva site. I believe their "Mandriva CLUB" suits your need, and it is a nice way to support their good work with the distro.[/edit]