Yes you can. When running knoppix-installer, you will be asked wether to install lilo to mbr or knoppix partition. Choose knoppix/linux partition.

I prefer to install to mbr. No need to worry if it screw/kill your xp. Installing lilo to mbr won't screw/kill your xp boot process.
If you can't boot xp, a simple fix will do: fdisk /mbr
or
Using xp cd to boot, choose recovery console and run: fixmbr