with mandrake running, in the VMWare toolbar, click Install VMWare tools.
This will point your virtual cdrom drive to an ISO file, which will make the cdrom drive inside Mandrake seem as if a complete cdrom is loaded.
I don't know mandrake, but its possible it is not automounting.
Go to a shell and type mount....is /mnt/cdrom or /media/cdrom mounted to anything? can you cd /mnt/cdrom and see the vmware....tgz files?
if not, as root type mount /mnt/cdrom (or /media/cdrom).
tar -zxvf /mnt/cdrom/vmwarexxxxxxx.tgz -C /tmp
then, in that new folder is a install.sh file so type:
and read the instructions.
(All from memory so i might be a little off on the vmwarexxx.tgz files.)