/usr/sbin/knx2hd is just a symbolic link to /usr/sbin/knoppix-installer. In other words, they're one and the same script. At least in Knoppix v3.4.
You need to be using some window manager (not necessarily KDE, I guess) when you run it, because 1) it presents you with a graphical user interface; and 2) it runs a KDE-based program, QTParted, to partition your hard drive(s). In other words, it needs X Windows to run.
So, you will need to run it from a bash prompt in a shell in a window manager (like KDE) as root.