The thing about Linux is, the configuration files aren't all located in one place. It helps to make your system more flexible, since you can just replace the individual components without affecting the rest of your system. To control what modules (dynamically loadable pieces of kernel code, usually corresponding to device drivers) and services load at startup, editing your /etc/modules and /etc/services files will get you started. This is the bare bones way to do it; most distributions of Linux come with their own user-friendly system configuration utilities, but since I don't use Mandrake, this is the best I can do.
This tutorial gives an overview of the Linux boot process, maybe this will help you along the way.