ahh yes, i ran into this problem too... What the problem is that your actually NOT putting in the right cd.... When you burned Mandrake, you have to burn it as a ISO image.... So...
1st - Download the ISO image
2nd - (i used nero) copy the ISO image (just that one file) and in the settings somewhere, make sure it has something checked about ISO burning. If you have any problems with this step, click this
http://www.hack.gr/linux/gazette/issue68/tag/11.html
It will step you through the process using many different programs...
3rd - Your set! pop in the cd when it asks for it
Hope I helped