Ok so here's what I've done so far:
Partition my 40GB HDD with 19GB at hda1 for Windows, 20GB at hda2 for Linux, and 1GB at hda3 for swap.
I installed Windows XP to hda1 and it re-wrote my MBR. Not a problem - I haven't installed Knoppix yet.
Installed Knoppix to hda2. It went fine.
I reboot
It boots Windows.
How do I install LILO/GRUB to the MBR now?
[edit] after reading around a bit, it seems that LILO may have been installed to the "MBR" of hda2 instead of hda1. Is there a way to install just the bootloader to the MBR on hda1 when running Knoppix from CD?