RPM packages are arranged into repositories. Main, jpackage, contrib and PLF (free and non-free) are the main software repositories for Mandrake/Mandriva. With Mandriva/Mandrake you install software using either urpmi at the command line or GUI-frontend the Software section in the Mandrake Control Centre. When you try to install a package with urpmi it searches these repositories for the package you want to install and any depedencies that package has, making installation painless and easy
What version of Mandrake do you have? generally you don't just update to the latest kernel - if you want a distro with the 2.6 kernel then get the latest version of Mandrake/Mandriva, which is 2005LE (2006 will be released to the public in early november).