I'm trying to install Knoppix to a partition on my second HD.
That should be no problem. You said 'trying' so have you succeeded or not?

I suppose that it is writing to the mbr of the 2nd hd instead
Actually there is only one MBR and it is in the first sector of the first hard drive. Since you don't tell us how you are trying to install LILO we don't have much to go on. During the install process it should prompt you about installing LILO to the root directory, the MBR or a floppy. If you make the floppy and boot with it then you should boot into Linux OK. If you've already installed Linux edit your lilo.conf file and then you need to re-run lilo

/sbin/lilo

That should do it. Post back with details if you need help.

edit

BTW you don't install to /mnt/hda you install to /dev/hda