If you root around on the first CD there should be a folder called "images", with .img files. You could then make a floppy boot disk for Mandrake and do it using that.
If you are in Windows, you can use rawwrite.exe (in dosutils on the CD), if you are in Linux: su to root mount the cdrom insert floppy disk, then do this command:- dd if=/mnt/cdrom/images/cdrom.img of=/dev/fd0
when it is done copying files, issue "reboot" or "shutdown -r now" with the floppy in the drive, and hey presto, the install will begin.
Ricardo