Hint: in Linux apparently we call them backgrounds (I use WinSnows too).

Put your backgrounds in your Home dir. (which is on the RamDisk), not /usr.

Go into KDE Configuration, you'll find background setup somewhere,
& set it to your background in the Home dir. (it's just like WinBlows).

In the PENGUIN menu on the task bar (they call TaskBar something else also)
you'll see "Configure" > "Create Knoppix Configuration".
It will save the KDE settings & lots of other settings also.

"Configure" > "Save Persistant Home" saves Home dir. with anything you put
in it (backgrounds) to a floppy, HD, USB, etc.

Just read Docs on Persistant Home, & Saving Configuration, it'll tell you more,
& show you how to restore all of the above settings.