ok this is what i do when setting up a smb server that i can connect to from a remote computer and download the entire hd.
(which is very handy when you mess up a windows machine and really need to get the data out of it)

first as said in the post above you click on the penguin were you would find the ssh server nx sever, network card config , etc etc.

turn on the smb server. it will ask you for a passwd for knoppix (knoppix is the username) enter your password.
it will then ask you if you want all the drives to be mount (/mnt/hda1 /mnt/hda2 etc etc ) click yes.
you may have to make it join a work group that your other computer belong to by default this is MSHOME or WORKGROUP
something like that. or sometimes nothing if you havent set one up. (now get the ip for knoppix)

now from your other computer im guessing xp go to "my computer" and type in \\ipforknoppix\ then press enter (of course were it says ipforknoppix\ you should put in the ip for knoppix)
it should then ask you for a username and password type in for username knoppix and for password what ever you set on the smb server at the start. then you should hopefully connect. if this does not work make sure they are both on the same subnet and are able to see each other you can test this with a ping from each machine.