Finally, it worked. But not the way, I posted before.
Here is what I`ve made:
I copied the iso file KNOPPIX_V3.4-2004-05-04-EN.iso, which i have downloaded, to the dev/hda1 (that`s the partition where is my WinXP too), rename it to knoppix.iso, then I booted from the cdrom with cd that contains the same .iso file as above but burned on that cd (that`s knoppix cd and used the next cheatcode
knoppix bootfrom=/dev/hda1/k*.iso
that`s how i booted knoppx from the HD
The I made my persistant home directory in dev/hda5 and save my config file there too (I understand that is realy important the iso image of the knoppix and the home directory to be on a different partitions)
The next time I boot, i used:
knoppix home=scan myconfig=scan bootfrom=/dev/hda1/k*.iso
And it worked))