You can change the password for mysql by using mysqladmin. I think the following will do it for you:
mysqladmin -u root -p password <new password>
Just replace <new password> with the new password you want to use. Typing this command will cause mysql to prompt you for your existing password. Since Mandrake 8.x doesn't assign a password, just hit enter when prompted.
EDIT: The above command may interpret the string "password" as your old password. If that happens try this command instead:
mysqladmin -p -u root password <new password>
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