I managed to get PXE Knoppix working. It was all to do with carefully selecting the right network drivers for the remote machine.
Silly me.
I followed http://www.knoppix.net/wiki/PXE_FAQ on setting up Knoppix Terminal Server to start up DHCP/PXE, etc. I got a 2nd PC to boot over PXE. However it says it could not NFS mount or something. I notice on the 1st PC that it tried to find some confuration file but couldn't find it, and it also had problems NFS mounting or something.
What should I do?
I managed to get PXE Knoppix working. It was all to do with carefully selecting the right network drivers for the remote machine.
Silly me.

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