You have a computer. It's either running Knoppix or Windows, not both at once. When running windows you do something to connect to the Internet. Knoppix can connect to the internet, too, without the need for any part of windows.

It would help more for us to tell you what to do if you told us how you normally connect to the Internet. Are you on dial-up? DSL? Cable? Something else? What hardware do you have? You might need nothing more than a user name and password from your windows system, or you might need special driver software if you use "unusual" hardware to connect to the Internet. The simplest case would be if you connect to the Internet with DSL or cable and use a wired ethernet card to connect to the "modem". With cable you might need nothing, but with DSL (or cable) if you were using a simple DSL/cable router you should find that you were connected to the Internet as soon as you booted Knoppix, with no set up to do or extra software to run in Knoppix at all.