The fastest, easiest way to deal with this is to add repositories to your Software Media Manager. Go to Kicker/Foot=>Configuration=>Configure your computer; or just click the Mandrake Control Center icon on your panel, then go to Software Management and you will see the Software Media Manager. Unfortunately, it only contains the CDs you installed from as sources for additional software. That is still necessary, and can be useful, but you want to add external sources from the Internet.
You can find those sources and add them to the SMM by opening your web browser, and going to Easy URPMI at http://urpmi.org/easyurpmi/index.php.
Follow the instructions there to add as many sources as you want to your SMM. When you get to the part where it gives you the lines to "type in the console as root", that means: open a terminal, type 'su' (without the quotes), then type the root password, and hit Enter. Your prompt should change from a "$" sign, which indicates a user, to a "#" sign, which indicates root access. Copy each individual line from the result on the webpage (from 'urpmi.addmedia" to "hdlist2.cz", then paste that line after the prompt in the terminal with CTRL-Shift-V, then hit Enter. You will see the repository being added, then will be returned to the prompt. Repeat for each repository you have listed in Easy URPMI (or of course, you could type every line by hand, if you want).
When you have added all the repositories you want, close the terminal, and go back to the Mandrake Control Center=>Software Management=>RPMDrake (Install Software). Change the filter from the default of "Mandrake choices" to either "All choices, alphabetical" or (what I prefer) use the dropdown menu to choose "All packages by group" (though you can of course choose "by repository" or any other of the dropdown choices as you prefer). This will show you all the packages available on all the repositories that you have added to the SMM. From this point, all you need do is check the checkbox next to any package or packages that you want to install, and click the "Install" button. Mandrake will fetch the package and any dependent packages (some of these may be on one or more of the CDs; if so, Mandrake will eject your CD tray and ask you for the CD(s) in question) and install them.
If you have a "loose" Mandrake RPM for some reason, you can install it by double-clicking in your file manager (a box will pop up asking for your root password, as only root may install software), or conversely, you can 'su' to root and use either the 'rpm' command to install (but rpm does not resolve dependencies, so if any packages need to be installed to support your loose rpm, they will not be downloaded, and the install will fail), or the 'urpmi' command (which does resolve dependencies, so any dependant packages will be downloaded and installed as well, if available). RPMDrake is just a GUI front end to urpmi anyway. For more information on these commands, type 'man rpm" or "man urpmi" into a terminal window.
Hope this helps.