I think lilo uses the mbr of whichever drive is set to be the primary boot drive, so you should be able to make lilo install on the other HD by first setting it to be the primary boot the running 'sudo lilo'. If the entire hdb is the linux partition, you could accomplish the same thing by setting lilo to install on the partition instead of the mbr. Lilo configuration setting are are in /etc/lilo.conf.

You would have to restore hda's mbr from windows.

But, knoppix needs linux to boot. If you have hda set as your primary boot & do not have lilo on the mbr for hda, your boot process will not see lilo therefore you will not be able to boot knoppix unless you use a boot disk.