I am a RedHat user and know nothing about Mandrake. However, the two probably have similarities. So, I will tell you a little about how I got my modem and my sound card recognized.
The first thing that I had to do was to find out if my modem and sound card were compatible with linux. Fortunately, they were, since I had purchased the most popular products, e.g., Sound Blaster sound card and 3Com-USRobotics modem.
I first attempted to install and use turbolinux, but could not get my Sound Card, Modem nor printer recognized. After hours and hours of trying, I gave up on turbolinux and purchased RedHat linux V7.0 from one of those reseller guys (not redhat). Still had trouble with getting peripherals up and running. Then I read that RedHat v7.2 does a better job of recognizing peripherals. So I purchased the product from RedHat, thinking that I could also get some help with RedHat (just a quick comment on that...you won't get much help from RedHat). Okay, so I installed RedHat, and, indeed, it recognized my Sound Blaster Card. I still had some work to do to get my modem and printer working.
I don't know what GUI you are using, however, I prefer KDE. Using KDE, I launched printtool to set up my printer. I used KPPP Dialer to set up my modem. Can't help you with the sound card.
Couple of suggestions:
1.) Go to Google.com and look for "compatability list linux". Chances are that your Sound Card is supported. If it isn't, you have a problem. Same answer for your modem. Start with determining whether or not these cards are supported. If they are, you can use a front-end GUI to get things set up. There are lots of GUIs out there. They are probably already available in your startup menu.
2.) Make sure you have the latest version of linux. The newer, the better.
3.) Take a look at what linux distributions are out there. If you are a beginner, you should be using a distribution that is easy to deal with.
Please post your progress on this problem as you continue working it.