Use "iwconfig" to find the interface that has wireless extensions and replace "eth0" with the correct label. It's "Managed" with a capital "M".
Apparently, dhclient isn't available. Once more, enter command "iwconfig" to find out whether the network adapter is "associated" with "default". If so, run "Configure network card" from the Knoppix menu and confirm "DHCP = Yes".

I use Kanotix, a distro based on Knoppix but designed for hd install. Many packages are different, apparently dhclient is one of them. I prefer Kanotix because you can easily update it to the latest kernel and wireless drivers.