I installed knoppix on my harddisk and everything seemed to go ok. My trouble is that
when I try to boot my PC, it is not booting Knoppix, but another version of Linux which
I had tried to install.

It looks like my '/' directory has the correct 'vmlinux'.

I expected the install process to setup my boot loader
for me. Do I need to set up lilo or grub?

Jim Anderson