The command to set a proxy globally (as root) goes like this:
Code:
# export http_proxy='http://proxy.site.domain:port@user:password'
Repeat for ftp_proxy and or https_proxy.

However, I think that you have a different type of problem. To connect to the Internet using a dial up you will need to download and install a driver for your winmodem (software modem) or use an external (hardware) modem. There is no guarantee that Knoppix will work with your winmodem, but if you google for it and also check your OEM website you will find if a Linux driver exists for your particular winmodem.

Good luck,

Mick