I believe the first time you have to login from the command prompt, with Mandrake, then do what Xaimus recommended. Or even just login and type "startx" at the command prompt. If an error is returned and x is unable to start, then it could be due to unsupported hardware (usually video-related). I've got one system with a Guillamot 4000XT (Kyro II chipset) video card which is unsupported by pretty much every OS out there (including Windows....drivers always have to be installed from the disk), and I seem to recall that Mandrake's X would not run on that system (...and I'm not Linux savvy enough to get it working
).
Pretty much everything you needed to know was already posted, but thought I'd just add a little insight from personal experience.