well being a live cd distro you can't really install anything unless the only files are in your home directory. As for installing files (asuming you can) knoppix is a debian based distro and there for uses .deb files rather then rpms. how ever 3.4 does come with alien which changes rpms into .deb files.

oh and .tar.gz is a compressed file. Like a .zip file

for the most part files that are just compressed you can install to the home directory. files with .deb usually have to be installed else where and there for can't be installed intill you install knoppix to your hardrive.