This is where you are told "Back up anything you would not want to lose."
Most installs are pretty straight-forward but do a back up.

As to how to install it depends if you want a debian install or the simpler
knoppix installer. Some people do not recommend using knoppix for a hard drive
install you might want to read more about that I'm re-thinking it myself Just because
something is easy doesn't make it good (for a non-intended purpose) The primary goal
of knoppix is a live cd. A debian install is extremely stable. I wouldn't neccessarily say
that about knoppix. So that's my flame-bait on that.

As far as the dual boot question; yes knoppix should recognize your windows install
and set grub ( it is grub in recent versions-right?) or lilo up to dual boot.

Chances on losing data-read the first sentence. It is possible even while it's un-likely.