Keep in mind that software will normally install itself to /usr (usually one of it's subdirectories, such as /usr/local) or /opt (OpenOffice and KDE, possibly others)
There is no specific way of installing software under Linux, since each distribution has its own packaging system. Mandrake use RPM's, so I would reccomend you stick to those. Do keep in mind though, that although other distributions use RPM (Red Hat Package Management) for distributing their software, only use those RPM's that are specifically packaged for Mandrake, or chances are that they won't work. You should also read up on software you're installing, especially to check if any RPM you download is relying on another package that doesn't come with your distribution by default, as you'll have to get that as well.
Also, make sure you have the kernel headers package installed (it's tucked away on one of the CD's.) Mandrake doesn't install them by default, but without them, you won't be able to compile any software yourself (this will be necessary if you want software that is either not prepackaged for Mandrake, or distributed in source only.)
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