for a very thorough reference on Linux system, see: http://www.icon.co.za/~psheer/book/index.html.gz

Basically, a linux system startup executes the scripts in /etc/rcS.d/ in order, starting with S00XXXX. If I remember correctly, (my system is different), for Knoppix this is knoppix-autoconfig, then knoppix-hd-autoconfig, then mountall.sh.
This changes when you do a hd install (except for a knoppix-style install) and it changes again if you do a system upgrade on your hd install (this is why my system is different).
Like everything else in linux, you can also modify this yourself to the point of screwing up your system completely if you want to.
Once the sequence in rcS.d has been completed, it then goes to the default runlevel (eg rc5.d for runlevel 5) & executes the sequence there.
Then, if X is called for, it goes to /etc/X11/Xsession.d & executes 45xsession.