This could be easy or a serious problem; you didn't give enough information. If you use Win XP then you likely have NTFS partitions. Knopix should never be used to write to an NTFS partition, it will corrupt it.

If you use a version of Windows that uses one of the FAT type of partitions then Knoppix can write to them fine. Knoppix normally only opens the drives as read only to prevent you from accidently harming your windows system. But you can over ride this read only feature. How to do so is below. Do not do this if you have NTFS partitions or if you do not know your partition type. Do no think that if Knoppix lets you change the access to read/write it is safe to do so, Knoppix will let you destroy an NTFS partition if you want to.

To change the access from read only to read/write either use the mount command (see man mount for details) or you can do it right from the desktop icon for the partition. Right click on the icon.for the disk parition, then from the Actions sub menu you can change the access from read only to read/write (or back again).

If you have NTFS partition do not do this. Consider adding another drive that you format with FAT partitions, or use a USB memory stick or other alternate storage device.