I'm not the most knowledgeable person here, so I hesitate to answer definitively one way or the other, but I know it will help others who will read this after me if you give us some more details about your system -- what version of Windows is currently loaded? what filesystem are you using? how big is your hdd? What's your level of experience with these sorts of things? Which Knoppix version are you working with? Details, details!

That aside, best of luck! I'm currently fighting with a 3.7 install, but that's because I went about it completely backwards out of paranoia. These folks can probably steer you very well.