If you installed Knoppix with the alsa cheatcode you should be set to go.
- adjust mixers with alsamixer and/or kmix to set volume
- to use notify with KDE tweak ~/.kde/share/config/knotifyrc:
[Misc]
External player=artsplay #choose aplay if artsplay doesn't work
LastConfiguredApp=Konsole
Use external player=true
Volume=100

[StartProgress]
Arts Init=true
KNotify Init=true
Use Arts=true