Yep, one of the great benefits of booting off the Knoppix CD is that it leaves your hard disk untouched. It would be quite hard to cause any damage in Knoppix by accident. Just don't try to repartition the drive (unless you mean to). In fact, don't try to write to the drive at all if you want to be safe. By default Knoppix won't let you anyway, so you're safe.

Just boot it up, have a look around, play a few games, explore the file system etc. No harm done, and you get a good feel for what Linux is like.

This is why Knoppix is so great for people wanting to experiment with Linux