You can use timidity to play midi files in linux. Unless you have a sound card that supports sound fonts like a sound blaster card then you will have to use timidity. As root:
apt-get install timidity

You need to post with more information:-
make model of your sound card, knoppix version and kernel (if altered), sometimes output of lspci-v can he helpful as well.
What exactly did you type (and where) to enable midi support?
If you have been in kde control panel, then you may have changed the sound server from alsa to oss or something, as you didnt install knoppix yourself, this may be difficult for you to correct, unless you can remember exactly what changes you have made.