Hmm... Everyone keeps asking this...
There -IS- a Mandrake LiveCD available from Mandrake called Mandrake Move.
It is supposed to work with USB keys and save all configuration to USB devices to give you a truely portable version of Mandrake.
The problem is that Mandrake SELLS this version and does NOT make the uncrippled version available for download.
Now if you want a LiveCD distro based upon Mandrake which is not crippled, you have two choices.
You can make your own, using the mklivecd scripts (search this forum), but this will require you setting up a partition on a system to house the initial build...
Or you can use something like pclinuxos which is based upon Mandrake.
pclinuxos .7 is a LiveCD.
You can go to www.distrowatch.org
to find it...