You will have to use a boot manager of some sort, something has to control your triple boot system. Knopiix comes with lilo, either lilo or grub can be set up to handle your triple boot.

So: first partition your HD.

1. partition for winME. 2 Gig is lots. Format vfat.
2. partition for XP. don't know how big, doesn't have to be huge, it is for the operating system only (not data). Format either NTFS or vfat.
3. partition for Knoppix, 4-5 Gig, format ext3
4. swap partiton, 500 meg, format linux swap.
5. rest of HD vfat for data. will be shared data drive for all operating systems. Always keep your data separate for your O/S the better to keep it safe if the O/S crashes.

Install both windows systems first. There is info on installing dual windows systems I think in MS's knowledge base. Google for it.

Then install knoppix. Let the installer put knoppix on the MBR, it should detect & set up boot entries for both windows systems. edit /etc/lilo.conf to fine tune the boot loader.