First of all, I do only the initial installation via the CD's. After I'm all set up and have an internet connection, i use Easy Urpmi
to update (system > mandrake update) and install any additional software. Read the instructions carefully before you type anything into console, as you have to remove your CD's as a medium before you add these sites. Once you have done this you can go to rpmdrake (system > install software) and install almost any software you want by doing a simple search. In general, I try to install using rpmdrake first before I go looking for rpm's for the things I want.
Now, as far as installing rpm's, open a console and cd to the directory where your rpm is, then this command will do it (as root):
# rpm -i packagename.rpm
for more rpm commands do a "rpm --help" or "man rpm" to get more commands. to uninstall the rpm, change the -i to an -e.
One thing you might run into is the rpm you're trying to install will need additional rpms to be installed first (failed dependencies). this can be frustrating. go to rpm.pbone.net to get most of the rpms your missing. this should get you started!