First, note that you can only install a .deb package if you have a HD install, otherwise you'll have to use Klik (Kmenu>Knoppix>Utilities>install software).

Installing single deb packages really isn't the way to go.

Connect to the internet

As root (su to root) do:

apt-get update && apt-get install (name of package)

this will both get the package you want and sort out dependencies. There's a good graphical front end to this called synaptic.

There's a good guide to apt-get at the head of one of these forums.

Otherwise, you may as well use Kpackage or dpkg.