Uhm, that sounds a bit like RedHat.
In the meantime self-helpdesk strikes again - I managed to find an answer while running another round of Mandrake Update, which might (or might not) be useful to know:
The files are temporarily stored in /var/cache/urpmi/rpms and everything you download will get deleted after installation or if the installation process fails at any stage. It's a good idea to be prepared copying the rpms while running the update.
Thanks anyway
/j.