That isn't a bootloader in BIOS, it's simply a definition of boot device order. All PCs have that (though not all can recognize a CD as a boot device).

The Knoppix CD has a built-in bootloader called isolinux, and that is what allows you to boot from CD. Windows has a bootloader that boots Windows programs. There are a number of bootloaders which will allow dual-booting of Linux and Windows, including LILO, GRUB, GAG, and isolinux. Isolinux is used on the CD because it's small.

To do a HD install, open a console and type "sudo knoppix-installer". It will guide you through partitioning your hard drive and installing a bootloader. Bear in mind, though that dual booting is sometimes risky, and can keep you from booting Windows if set up incorrectly. Make sure you know what you are doing first, and read as much documentation as you can. Back up your data and defrag also.

There are options other than a hd installation. Of course, you can run liveCD, which is the safest. Next is the "poor man's install" . Then, there's a brand new method that can be done from Windows (I haven't gotten it to work yet, but everyone else who's tried it has) here . Then, there's Knoppix installer, which has three different varieties - Knoppix-style, Beginner's and Debian.

Bottom line, you need to do some research and figure out what degree of risk and functionality you want to take. If you do a full HD install and mess up your Windows MBR, do you know how to repair it with the recovery console, and do you have a disk handy to do it? If you can't get into Windows, do you know enough about Linux to use it to rescue your data? Will you know how to diagnose and treat problems which may arise with a Linux hd install? How dependent are you on your Windows installation and data? If you mess it up installing linux, can you afford to be without it while you try to figure out how to fix it? Is there another family member who depends upon Windows, who may give you grief if you hose the machine?

I would recommend taking it slow - you can always change your mind later. I, and a number of other people use the poor man's install, and it gives a lot of functionality. You can do a lot with liveCD or PMI - unlike Windows, it is not at all necessary to install Linux to use it, and installation of Linux is not as automatic as with Windows.

jd