I'm not an expert in iptables (I used to use earlier ones like ipchains and the original ip filter in 1.3 kernel), but I'd guess that the reason it's not working is that Mandrake has already been messing with it.

My Mandrake 8.2 has no iptables binary at all, but the kernel module you're having problems with loads no problem.

Perhaps you should try turning off any daemons etc, which Mandrake has running - it takes over pretty much everything and does things its own way generally (I mostly don't mind this any more )

Does dmesg or /var/log/messages produce any informative messages when you do that command?