To install, just 'sudo knoppix-installer'. The install program will detect the linux partition where mandrake is & list it as one of the partition to install options. When you chose that partition, knoppix will overwrite the mandrake installation.
For the winmodem, see these:
http://www.knoppix.net/forum/viewtopic.php?t=14796
www.knoppix.net/forum/viewtopic.php?t=12119