Knoppix firewall

Hi,Though I have been using Knoppix5.0 already for two weeks,I am not familiar with it yet.Frankly speaking I am a total beginner.My previous experience with Win XP brought me only troubles - a plenty of worms and spy programmes.This is why,following the advice of a friend I started using Knoppix 5.0 on a live CD.In order to be sure,that my e-mail correspondence will not be shared,I decided to configure a Knoppix firewall.But this enquires creating a persistent Knoppix image.Doesn't it mean,that after creating such a persistent image on the HDD I will be in the same situation like in Win XP?I also would like to know,whether the DHCP broadcast makes me easy for identifying in the net?Does the router make me invisible for the others in the net?Thank you in advance for your assistance and for providing me ideas for solving the matter. :D