Okay, here's my report.
The links bvc provided gave essentially the same information as "Linux In a Nutshell", and worked perfectly. I was glad to see this, because I had tried previously with Fedora and failed. (I think I must have been using the wrong partition number.) One note, bvc: I just tried changing "bootsect.lnx" to "mandrake.lnx", and it worked fine, so I should be able to add "fedora.lnx" and "debian.lnx" later.
The key to me was the "mount partitions under /mnt" and "chroot /mnt" steps in rescue mode. (Thanks for this information!) After doing that, suddenly lilo.conf was there! I'm not sure what /mnt is, but what was I seeing before when I was unable to find lilo.conf? Was I looking at the CD instead of the partition on the hard disk?
As usual, things don't go as smoothly as one would hope.
In rescue mode, I noticed an option that said something like, "Restore Windows boot partition". I thought that maybe this would save me the step of booting my XP CD and running fixmbr in rescue mode. It didn't seem to do anything, though.
Once I was in rescue console mode, I couldn't find any way to go back to make another selection from the list, so I had to reboot each time.
I was unable to mount my floppy in order to copy the LILO file. The command "mount -t msdos /dev/fd0 /mnt" gave me an error: "/dev/fd0 has wrong device number or filesystem type msdos not supported". However, one of bvc's links gave an alternative command for copying the file, "mcopy /bootsect.lnx" a:", which worked fine.
The first time I logged in, I clicked on Documentation, and KNotify crashed with a useless back trace and a message that /usr/share/doc/mandrake/en/Starter.html could not be displayed.
In the tray on the lower right, there was a "!" displayed, with a balloon message saying "Service not available". Clicking on it took me to the Mandrakeonline setup, which I still haven't successfully completed.
Samba didn't find any of my Windows partitions, so I need to work on that. Mandrake also wasn't able to get my sound card working during installation, but I think I have that working now (fingers crossed).
I was interested to see that LILO was created with SEVEN entries! I understand what "windows" and "floppy" are, and have an idea what "failsafe" might be, but don't know the details. Additionally, there are "linux", "linux-nonfb", "263-7", and "old_linux-nonfb". It appears that the first two go together, as do the last two, but I have no idea what "nonfb" means. The only difference I can see between the first two image sections is a "vga=788" in the first, which results in a graphical boot. Is this the only difference?
Booting to "linux" and doing a "kernelversion" gives me "2.6". Does that mean 2.6.0.0, or is there not a way to display the complete release number? And is this really a newer version than 2.6.3.7? Finally, why do I need a choice of booting between the two kernels?
Well, having been successful in this endeavor, I've now become confident (and probably foolhardy enough) to try doing the same with Fedora later today, and see if I can accomplish it without losing Mandrake! Guess I enjoy living dangerously. Then, later on, I may decide to do away with the Windows boot manager completely and go with LILO or Grub in the MBR. That will be another day, though....