After trying a couple of live Linux CD's I thought, it was great and decided to do a full install of Mandrake 10 RC1.

But I'm losing interest now, finding simple tasks in XP are complex in Linux.
Is that normal, is it worth the learning curve?

Here's a few examples...

1) Using my USB CF card reader, changing CF cards on the fly. Seems Linux needs me to type mount and umount commands, edit files, etc. I still cant make card swaps without rebooting.

2) Installing software, ok rpm makes it easy. But I seem to have to log out/in KDE to see the new items in the menu, and search the menu to find them, and some only show in root's menu.

3) Seeing XP shared folders on other PC's, something about SAMBA needed, seems complex.

4) Fonts in the internet browser, just look poor, read I have to import MS fonts.

5) Finding a Zonealarm type program that alerts when internet access is attempted by an application.

I'm sure I'm not the 1st to come to this point, suggestions, is it worth the effort?

Concerning your last point: Why are you worried? You're running Linux, not a horribly insecure Windows. There's basically no way for anything to be running, or using net access, without you having installed it yourself on purpose.

There are firewall programs, of course, and Mandrake has a fun little Firewall section in the control panel that lets you choose exactly which ports are open.