i have not used Windows in 4 years, eccept verry rarely when helping others and for some games (98% of cases Wine, dosemu, winex... can be used instead if you wish).
as for exiting X just give the cheatcode
Code:
knoppix 2
or
Code:
knoppix26 2
and any other you needed to boot.
that or
Code:
telinit 2
in a console. that will shut the windows environment down.
Code:
startx
will start it again.

btw this only works with a hard drive install. preferably a Debian-style one.