You are quite close to making it work.

You have detected the access point. Assuming your access point has DHCP activated, now you need to ask the access point DHCP server to give you an IP address. Go to the Knoppix menu (the Penguin), select Network/Internet -> Network card configuration. You may have to select your wireless device (probably eth0 or eth1 or something like that). It will ask you "Use DHCP Broadcast?" Select yes. This should get you an IP address from the access point. After this, test to see if you can connect to the internet.