I don't know if FPSE will work on either, but if it's just simple gaming you want, with little hassle, I'd opt for Red Hat. Like what has been posted, it _is_ a lot easier to install... something like a Windows installation. (may be even easier... it depends)
If you have a relatively new computer, I'd suggest you go for the latest available version of the two OSes. It'll save you a LOT of hassle if you do.
I haven't tried Mandrake but I do have Red Hat. It's been some time since I booted it up, but I think it's an old 6.x or something. The latest RH distribution is easier to install because of new and updated hardware drivers. However, it's quite buggy due to the kernel overhaul they did on it. But then again, if you're not planning to set up a really serious system (intensive work, server, security, etc..), it's fine for common usage.
Oh... where were you able to get a Mandrake? I've been looking all over for other Linux distributions and all that I've found are Red Hats.