Did you install it during the install? It is selected by default so you would have had to uncheck the box.
If you have not logged in at all before, at the command line, enter your username and hit enter, then your password and hit enter. From this point, type 'startx' without the quotes. Mandrake will guide you through a series of prompts at this point, I believe the first of which is to ask which desktop you want as default. If you want KDE, select it here and from that point on, everytime you log in and type startx KDE will start.
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