My advice:
Just let knoppix's lilo take over Mandrake's on mbr. If everything is okay,Knoppix's lilo will include Mandrake's partition.

After rebooting, choose to boot to Mandrake. From inside Mandrake, you can edit Mandrake's /etc/lilo.cfg and insert line for booting knoppix. You can compare Mandrake's and Knoppix's lilos and copy the appopriate lines from knoppix to mandrake.
After editing and save lilo.cfg, run : lilo -v.

By doing this way, you can preserve mandrake's lilo and has a reference to knoppix's lilo.

Good luck