Knoppix 3.9 CD is buggy and installing programs in a running system may crash that system. See http://www.knoppix.net/wiki/Bugs/3.9-2005-05-27.

As for installing programs on Knoppix 3.8.x or on a HD install. Practically every Linux system uses a concept of a software package management system. This manager keeps a log of all the programs installed on your system, keeps a listing of all programs NOT installed on your system, and easily identifies upgradable programs. This sounds similar to windowsupdate.microsoft.com but it way wider in scope (not just MS programs). A linux user MUST be familiar with the package manager in order to install software. There are usually two methods of manipulating the package system: either by command line or by a GUI utility. Unless you need to install, remove, & update loads of programs at once, the command line utility is usually quicker but obviously not as friendly. So in knoppix you want to install a DOS emulator so you can play an old DOS game. A Google search for: DOS program run on linux. One of the links is to DOSBox - A DOS Emulator http://users.netwit.net.au/~pursang/dosbox.html. So then I go to http://packages.debian.org and search for DOSbox under ANY and I discover that it is in the Debian package management system. So to install DOSBox on Knoppix 3.8.x or on a HD install (assuming the network is properly configured & the machine can access the internet) is as simple running two commands:
Code:
sudo apt-get update
sudo apt-get install dosbox
The first commands refreshes the lastest package info from the package servers. Then second command tells the system to install dosbox. It will download, decompress, and setup it up for you. The total download size start to finish is about 10MB.

If this is too much command line mumbo-jumbo, then I agree. That is why GUI tools were made to allow easy access to the package management system. Run the program synaptic or kpackage. Do a FIND or CTRL-F. Type dosbox. It will find the package. Click apply and it will download, decompress, and set it up for you. Once you understand that software installation in Linux is different, then you will realize that it is frequently just as simple as windows.