It's much easier than you would imagine.

In Knoppix all you need to do is click on the K menu, and click on the wine icon.

A little wizard will walk you through your configuration. You can stick with the defaults (you can always run the wizard again to edit things).

Then you download a windows program (or use programs from your windows partition) and cd into the directory with the program (or specify it's locatation) and type this: "wine program.exe"

It won't run everthing, but it's getting better and better. It really is quite easy.