<snip>
...how can I prevent someone from using a knoppix CD to steal data from my computer when I'm not around?
</snip>

How do you prevent data theft NOW? Someone could boot into almost any version of Windows (especially Win9x) and do the same thing from there, even if Windows itself is password-protected. Even if you have a password on your screensaver, a simple reboot will usually dump that.

Your best bet is to password-protect your system from within the BIOS-setting utility you can access at boot-up -- but you had better be sure to remember the password, because it can be a lot of work to get around it. Even in the case of a BIOS password, it is possible to bypass it (in most cases) by opening the machine and dumping the CMOS settings. I guess you could lock the case closed and put a locking insert in the floppy drive... but I think you get the idea!