Look under /boot/isolinux on your CD:
linux24 is the 2.4.x kernel and minirt24.gz the corresponding initrd FS
linux26 is the 2.6.x kernel and minirt26.gz the corresponding initrd FS

I've copied those to my C: (fat) drive, and here's the relevant part of my lilo.conf:
Code:
image=/windows/C/knoppix/linux24
    initrd=/windows/C/knoppix/minirt24.gz
    label=knoppix_34_24
    append="nomce hdc=ide-scsi hdd=ide-scsi alsa lang=be screen=1280x1024"

image=/windows/C/knoppix/linux26
    initrd=/windows/C/knoppix/minirt26.gz
    vga=791
    label=knoppix_34_26
    append="nomce hdc=ide-scsi hdd=ide-scsi alsa lang=be screen=1280x1024"