Hi, I had a very similar experience like MrReapa describes.
While using Knoppix 3.6 from the CD-ROM the performance was choppy so I decided to log out. Knoppix closed all the processes but then stopped working - I never got the message where it sais to remove the CD and hit Reurn. So I pressed Reset and wanted to start Windows XP SP2 again. But Windows wouldn't start anymore, it froze during the loading bar display and then it rebooted by itself. I then booted into safemode successfully and could access all the disk. As soon as I rebooted it it hung again.
I have a set of 6 Windows XP setup diskettes. I booted with the startdiskette but didn't continue past the first screen. I restarted the computer again and from then on Windows worked again.

The big question is, does the KNOPPIX CD-ROM version change anything (maybe MBR) on the Windows disk if it can't be logged out properly???

I just checked the startup messages of KNOPPIX 3.6 re. harddisk access. Here is an excerpt of it:
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Monitor is . . .
Using Modes . . .
Scanning for Harddisk partitions and creating /etc/fstab . . . Done.
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So KNOPPIX 3.6 is accessing the harddisk to write on it. I also realized that each time the CD-ROM was aktiv the harddisk light would be on too.