to install an rpm, double-clicking in konqueror should work.
What I do, though, is use konsole, cd to the directory where it is, and issue
which will install it.
If it's a .tar.gz tarball, or a .tgz (same thing), then yes, use
tar xvzf filename.tar.gz
and then copy the folder into the kde themes folder, but i'm not sure where that is.
Mandrake does have problems with third-party KDE extensions, like themes and kdevelop, so you may run into problems. check to see if there is a mandrake version on the urpmi servers...there probably is.