Knoppix 3.9 includes dhcp3-server 3.0.1-2 as seen here at the Knoppix 3.9 package list so there is no need to install or download anything.
You will need to edit the /etc/dhcp3/dhcpd.conf file. Here is a site to help with that: "DHCP Setup Guide" http://www.siliconvalleyccie.com/linux-hn/dchp.htm