I would first setup XP completely. this means just create one (or 2) XP partitions and leave some disc space unpartitioned. install XP completely. then use mandrake setup to partition the rest of the hardisk with at least two partitions (root and swap). install mandrake (I don't know the mandrake setup...) mandrake will overwrite the winXP bootloader, maybe madrake detects the win xp install and adds it to the bootloader, maybe you have to add it yourself after the mandrake installation, so you can choose wich OS to load... should work.
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