You do get XMMS on the Mandrake CD's - it just doesn't install automatically. If you didn't use manual package selection during the install, you won't have it. You can install it from the Mandrake Control Centre. Go to 'install' and type XMMS in the search box, select the packages you want and it'll ask you for the CD's to install them.
You get version 1.2.9 as stated previously.