eadz has the documentation working again. Read http://www.knoppix.net/docs/index.php/FaqDownloading and http://www.knoppix.net/docs/index.php/DownloadingHowTo

Did you check the md5 sum of what you downloaded (and was it correct)?

You might well have a BIOS problem if it's not booting the CD. Can you boot any other bootable CD? There are several boot loaders that will let you boot from any CD drive, even a second or third CD drive, and even if the BIOS can't boot from CD properly. I use XOSL for this, but others have mentioned "Smart Boot Manager". Smart Boot Manager might be a better choice, since you can install it to a floppy and then use that to force your CD to boot (assuming the CD is good). I don't have a link for either handy, but you can find them quickly with Google.

Knoppix is a great live CD, but there are other versions of live CD's that you might want to look at too. Knoppix is not your only option for a live CD. But you need to get booting a CD resolved before you start trying out different versions for the right fit.

If you can get it to boot up to the first prompt, I think there is an option that should let you test the CD. But you don't seem to be that far yet.