Unless you want a coaster, verify the md5sum of the .iso!

I use nero in Windows here's how:
(Nero 6.3.x.x)
1. Load Nero
2. Close the cd creation window that loads at start.
3. At the top of the window choose the tab labeled recorder
4. Select "Burn Image..."
5. Select your .iso file.
6. The burn dialogue will apear, select burn
7. A window will popup telling you that the file is too big unless you finalize the cd. Select to finalize.
8. Viola...reboot to your new Knoppix live cd