To expand on opjose's answer:
Decide what you want it to be (/home, /home/you/Documents, /whatever/you/want) and create (if necessary) the appropriate directory on your current system. Use the Mandrake Control Center to configure the extra space (make it a new partition, format it, etc.) and mount it to the point you created. (Mount it to a temporary location and copy files to it, first, if necessary.)
And that 4th CD is unimportant. If you want the software it *does* have, just configure a "contrib" repository via Easy Urpmi (link in my sig), and you will have access to the same software. Better yet, also configure "main", "updates", and "plf", and you will have access to all the non-proprietary software available for Mandrake, even the Powerpack versions.