Hmmmm... well, the first thing that jumps out at me is that there isn't a runlevel 36.

Runlevels 3 and 5 determine whether you start up with a graphical or console login, but otherwise are the same. Runlevel 6 is the shutdown runlevel. So I'm not sure what you're seeing, but I'm pretty sure it isn't runlevel 36. It sounds like bastille is trying to start at bootup but can't. Did you select the start at boot option when you answered the questions?

Also, are you sure you have all of the bastille rpms installed? By default, Mandrake doesn't install all of bastille. There are about 4 or 5 bastille packages total. Be sure you have bastille-tk-modules installed and call the script from a command line in XFree with InteractiveBastille.