Copying files will take several minutes. Once this stage is complete, you will be asked to setup the bootloader. Again, there are several advanced options available, none of which should overly concern you now.
Basically, you can decide whether you want the boot menu to include graphics or not, in case you might encounter a problem with your graphic card, where the bootloader will be installed (MBR or the boot sector of the first primary partition) and the time the user has to decide before the default image is booted.
If you are only running Linux, you should use the default options. I also recommend the GRUB loader rather than LILO. If you intend to use Mandriva in conjunction with a Windows operating system, you should install the Windows first, as the Microsoft operating systems conveniently overwrite the MBR any time they are installed.
Once you setup the bootloader, you will be asked to configure the boot menu. By default, this menu will contain entries for all available operating systems, including special switches (akin to Windows Safe Mode and similar options). Most people cannot easily read such entries. If you have more than one operating system running, including Windows or other Linux distributions, you might want to modify the names of these entries so you can identify them when you boot your system.