The list is controlled by the bootloader--which is typically installed when you install Linux. You have at least two options:
1. Install Fedora, and then configure the Mandriva boot configuration file so that it will link also to the Fedora install
2. Let Fedora install a bootloader. If all goes well, it will see windows and Mandriva, and automatically include them.
To dig a bit deeper, look at the grub manual (on the grub website)
Just to show the limits of what is possible, this is very entertaining:
(I'm not actually suggesting that you do what he did....