actually, I have done this once on an XP computer, with no CD, and with no CD recorder availeble.
liuckily, winRAR can handle ISO files, and it extracted exerything from it out to the hard drive.
so I copied the compressed KNOPPIX file into c:\knoppix\ and used rawrite2.exe to rawrite the boot image to a boot floppy.

you can do the same from linux by mounting the iso image (mount -o loop knoppix.iso /mnt/something/).
also, if you want boot to take less time, you can make a new 2MB fat 16 partition, syslinux it, and copy the files from the boot image onto it (but not LDLINUX.SYS)
mounting is done like - mount -o loop -t vfat boot.img /mnt/something
then just add that partition to your LILO/GRUB menu, and - walla! a super-fast read-only knoppix!