Well first check that you have your BIOS setup correctly.
Press DEL or [F2] or other(depends of the Computer) right after you hear the BIOS beep saying "Iīm Ok"
There you select how your system will boot, make sure that your CD/DVD drive is first.
Now it should work.
When you install, make sure you install lilo or grub, i think Mandrake use lilo, then choose to install it in the MBR(Master Boot Record), you can choose to install it in the hard drive, it is up to you.
Thatīs all.