As I understand you do not have a floppy drive.
If your HDD is large enough you can copy the KNOPPIX file (700 MB) from the cd-rom /KNOPPIX directory to a directory with the same name on the HDD. Next you will need a program like WinImage for Windows to open one of the boot diskette images that are on the CD and extract to your HDD KNOPPIX directory the files vmlinuz, miniroot.gz and syslinux.cfg. The last one id just for refference for the command line options you can use. You have to find loadlin.exe and place it in the same directory. Next create a knoppix.bat file in the same place. Edit the knoppix.bat file and write a single line (just an example):
loadlin vmlinuz initrd=miniroot.gz VGA=788 lang=us
The startup script in miniroot is set to scan all drives for a KNOPPIX file and to install the one it finds. Of course this will still be a readonly system. In my version (3.1) there is no option to save prefernces to a hard disk instad of floppy. Good luck