If you set up the urpmi sources you don't have to download any rpm's by yourself. urpmi does that for you, providing the desired rpm's exist in one of the sources you set up.
Of course you can manually download any rpm you want. Say you found a great package named package.rpm somewhere on the net but it does not exist in any of the repositories you set up. Then just download it, to say
In a concole type
and as root
Why is it better then
rpm -i package.rpm
Because every package depends on some other packages to be able to install. Sometimes it is refered to as "dependancy hell". urpmi saves you from this hell because it automaticaly resolves the dependancies and installs all the necessary packages. It gets them from the sources you set up or from the CD's you used at the installation. It just tells you what the dependancies are and if it is OK to install all the required packages. If one or more of the required packages are on the CD's it asks you to insert the CD.
The only problem is if some required package is in none of the repositories you set up. But that means it's some very obscure program you're trying to install. I can tell you I can't remember when was the last time I had such problems
In any case, every time you find some interesting rpm you'd like to install, first try urpmi directly. You will be surprized how many packages there already are in the Mandrake repositories.
Why try directly? Because it's easier, but more important, packages in the different Mandrake repositories were compiled specifically for Mandy. Mandy likes them. Mandy likes them a lot. You can expect far less problems then with general non-mdk packages.
Only if the urpmi doesn't find your package, then download it manualy and use urpmi as I described above.
Feel free to ask