Hiya,
Thought that it took me long enough wadeing thru the complication to arrive at this simple fix for the 'su returned an error' problem when you try to run most stuff in the KDE GUI. So for those of you, which is I guess everyone, that installs Knoppix to your hard drive and finds this happening, here is what I did and it fixed all:

launch a terminal, su to root, goto /etc, type 'visudo sudoers', move your cursor down to where the line is that says 'root ALL=(ALL) ALL' and go one line below it, hit A to put it into append mode and duplicate that line except put your KDE login id as the user, hit esc key, type wq!, and then all will work like it did when you ran it from the CD.

ENJOY