No problem man.
First of all I would follow vrin's advice and see if that works. Type in this
# urpmi.removemedia -a
That will make Mandrake forget whre it looks for it's sources (basically disabling urpmi). Then go to this web site
This site will give you commands that you can run to add FTP sites as your sources, they generally look like this
# urpmi.addmedia PLF <FTP mirror>
There's four of these commands. When you go to those sites and pick the mirrors you want, just copy and pase the commands that they give you. After you run all four (they have to be run as root) then just use the urpmi command like you did before. It should download the files off of the internet rather then looking on the cd's.
If you don't want to do that, here's what I did before getting vrin's post. I tried installing the program I wanted to install (in my case Arson). I cancelled the install and copied all the dependancies needed. I went through and used urpmi to install the dependancies individually. When I came to ones that needed the notorious disk four, I just did a search for them on google and downloaded the packages.
In my case, I found two packages were on disk 4. I would suggest using the mirrors rather then how I did it. I imagine it would be much much easier. Good luck, and feel free to ask any questions you need of me. I'm quite well known for not explaining myself very well.