Oops, there is a CD 4. Missed that the first time.

You'll pretty much want to burn the CDs or DVD (although you can use rewriteables if you want; you can get by without them after installation).

There's probably a way to extract the files from within those .iso files (IsoBuster is good for that) and install off a hard drive (after booting from a Linux boot CD or floppy), but it'll be pretty distro-specific. If you can find instructions for Mandriva then it's an option though.

Alternatively, if you're doing this in a virtual machine (Virtual PC, VMware etc) then you can mount the .iso files in that and install straight from the images.