Welcome to Knoppix!

Yes, there's a better way to install it to HD. I haven't downloaded 3.8.1 yet, but the changelog doesn't mention removing the installation script, so it must still be there. While running from the CD, open a terminal window and type $ sudo knoppix-installer - it's a little buggy, but things can generally be fixed after the installation.

But, there are also better versions of Linux to install to HD than Knoppix, which is really intended only to be run from CD. Assets and even necessities that come from making it a live CD turn into detriments on a hard drive.

There are 409 versions of Linux and BSD listed on http://distrowatch.com, and each one has people who passionately believe their favorite is just the right one - for their purposes. Even in this forum you'll find a bunch of different distros recommended. I usually suggest the Debian sarge release or Progeny Debian.

So tell us what it is you want from an installed Linux, and we'll help you out!

Are you wanting it to live alongside another operating system on your computer? That has some effect on the installation.

-- Ed