From the faq:
Q: What is the root password?
A: There is none; all passwords are locked by default. You can set it by going Knoppix Menu->Root Shell and typing "passwd", then enterting a root password, also there are several sections you can read dealing with this subject in KNOPPIX/README_Security.txt. You can also type "sudo su" or "sudo -s" in any console window, or use <ctr>-<alt>-F2 to get at the text console with already opened root shell.
Apparently, however, in some versions of Knoppix, if you type 'sudo -s', it will ask for a password. If you simply press return without entering anything, it will tell you 'Authentication Failed."
If you meant running the installer script you can use: sudo knoppix-installer
OTOH if you mean activating write permissions on partitions you can right-click the desktop icon and select "change read/write mode" or some such.