I just want to know which directory icon themes are installed.

If you mean KDE icon themes, you do not have to install them into a folder. Just go to the KDE Control Center, Select "Look & Feel" and then "icons". There should be an option to install new themes. Select that and choose the tarball of your iconset and KDE automatically installs them. You do not have to extract the tarball just use it as it is. The same menu in "icons" can be used to uninstall icon sets that you no longer need.

KDE will store the icons you isntalled in your home directory in a hidden file .kde/share/icons and global icons in Mandrake are in /usr/share/icons. GNOME icons are usually in /usr/share/pixmaps.

What I do not understand is that I have downloaded 1 icon(kde-look.org_) which is a folder icon and I like it and I just want to change that icon(folder system icon only,how?

If I'm reading your question correctly, you don't want to install an entire theme. Just 1 icon from a theme. Don't know about Mandrake, but this works in SUSE 9.1 GUI.
In Konqueror, right click the folder whose icon you want to change. A menu appears and at the bottom, left click "Properties". The Properties for "FOLDER" wizard appears, opened in GENERAL. In the upper left hand corner you will see the current icon. If it is enclosed in a box with a white background, then you can change the icon. If it is not, you are SOL. I haven't figured out the rhyme or reason why it allows some but not others to be changed. Left click the current icon and the "SELECT ICON" wizard appears. Left click the "Other icons" radio button and the "Browse" tab becomes activated. After clicking "Browse" you must navigate to the file that contains the icon you wish to use. After clicking that file, click "OK". The "Properties" wizard reappears and you then click "OK". The new icon will be applied.
Hope this helps.