Please find below ALL you will need to get a Grub Multi Boot from a NTFS (or FAT) partition:
You can download temporarily from this link:
This is my temporary compilation of grub with network and dos/ntfs patches, thanks to all the contributors !

In this zip you will find 2 directories: grub.bin with includes some binaries useful for other people setup and
Root_Of_NTFS which you will need to copy the content ino the root of your NTFS partition.
But before doing it, it would be probably a goof idea to backup your boot.ini into boot.bk and then
add "c:\bootgrub="Start Grub" at the end of your boot.ini to have grub as a boot option.
I included my boot.ini in the zip as an example. If your fat32 is not in /dev/hda3 as in my setup,
you may also need to modify the file \BOOT\GRUB\MENU.LST to match your setup.
In your case, you probably will replace hda3 --> hda2 and (hd0,2) --> (hd0,1)

So to summarize, you don't need a USB dongle to make a XP/Knoppix dual boot, just follow these steps:
1) Backup the boot.ini of your NTFS partition.
2) Download my file
3) Copy the content of Root_Of_NTFS of my zip file into the root of your NTFS partition, but the BOOT.INI file
4) Add "c:\bootgrub="Start Grub" at the end of your BOOT.INI in your NTFS partition
5) Update the \BOOT\GRUB\MENU.LST to match your hd configuration and upate your cheatcodes for knoppix
6) reboot and enjoy an easy life...
Good Luck and let me know the result.
Cheers, Gilles

PS1: I would also to take this opportunity to thanks ALL the GREAT people
having worked very hard on Grub and Knoppix to make this easy setup possible !

PS2: I am still looking for help to get an even nicer boot of knoppix from the ISO file being in a NTFS partition...