why didn't it work the first time?
Can't say. Which Knoppix version are you using? Some fixes were made to the installer after the first 3.4 was released. Not sure if Lilo was included in the fixes.
DO you have to enable LILO to start up or something after installing it?
No. It's supposed to run at bootup after being installed.

What exactly does lilo look like
If you mean the graphical part of Lilo in action, it's just a splash picture with a menu. Although you can also add some kernel parameters in Lilo.
If you mean mine, this is it after I snipped off some outcommented irrelevant parts:...
# /etc/lilo.conf - See: 'lilo(' and 'lilo.conf(5)',
# --------------- 'install-mbr(', '/usr/share/doc/lilo/',
# and '/usr/share/doc/mbr/'.

# Support LBA for large hard disks.
#
lba32

# Specifies the boot device. This is where Lilo installs its boot
# block. It can be either a partition, or the raw device, in which
# case it installs in the MBR, and will overwrite the current MBR.
#
boot=/dev/hda

# Specifies the device that should be mounted as root. ('/')
#
root=/dev/hdb1

# compact

# Default menu for Debian. (Using the images from debian-bootscreen)
# from Philipp Wolfer <[email protected]>.
bitmap=/usr/share/lilo/contrib/debian.bmp
bmp-colors=1,,0,2,,0
bmp-table=120p,173p,1,15,17
bmp-timer=254p,432p,1,0,0

install=bmp

delay=20
prompt
timeout=50
map=/boot/map
vga=normal

default="Windows2K(hda1)"

image=/boot/vmlinuz-2.4.26-mppe-ar
label="Linux(2.4)-1"
append="ramdisk_size=100000 lang=us apm=power-off hda=scsi hdb=scsi hdc=scsi hdd=scsi nomce "
read-only

# If you have another OS on this machine to boot, you can uncomment the
# following lines, changing the device name on the 'other' line to
# where your other OS' partition is.
other=/dev/hda1
label="Windows2K(hda1)"