Yes...to install Knoppix you just boot the cd up all the way into KDE, and then press Ctrl+Alt+F1. That takes you to the main console where you'll see the stuff you saw while it was booting up. Type knoppix-installer. Everything else is straight-forward. Make sure you choose hda5 to install to and such. You may need to edit your fstab to have full read-write access like you do on the cd...but that's easy

You could make Mandrake be able to see and write to your windows partition too, but you should really just install Knoppix.