In theory there is a groovy new way of doing this for the limited edition 2005 release but I haven’t actually found out how… yet.
Anyway to save swopping cds all the time you need to add something similar to this to your
Mandriva-Linux-2005-Limited-Edition-CD4.i586.iso /mnt/localiso/iso4 iso9660 ro,loop,auto 0 0
Then go to the Mandriva Control Centre (curiously still called the Mandrake Control Centre) and then add the new mount point. Add Custom -> Check Local Files is selected -> Click the Browse Button -> Navigate to the Media section in the iso image.
Of course there might be a better way of doing this.