Yes you can install softwares while running knoppix from cd. I never try it though. Knoppix comes with the utilities to install softwares while running from cd ( check the tux/penguin icon next to K menu).

For gaim I doubt it will work because you have to compile it. But there's an option. You can install yahoo messenger. It's has been precompile for debian.

You can check at Kanotix site. There is a script to install Yahoo messenger while running from cd. It's called install-ymessenger-local.sh. Get it from :
http://kanotix.com/files/