Open the main menu (lower left of your screen). Go to Knoppix-->Configuration-->Save Knoppix Configuration. Your hard drive is likely to be hdb1.
Save.
When you reboot again, at the prompt when it first starts up, type knoppix myconfig=scan or myconfig=/media/hdb1(assuming that's where you saved the config file.

An even better practice is to save a whole permanent Home folder, also started at Menu-->Knoppix-->Configuration. The resulting file is much larger on your hard drive (I think about 250mb), but it will also save documents, additional software, and so forth.