what filesystem?
did you change to read/write?
if you use NTFS or did not change that disk to read/write it may be somewhat hard for Knoppix to write there.
Q: I see the partitions from my hard disk on the desktop and can access their contents when I click on them, but if I try to write to them I always get the error message "access denied". How can I write to my existing partitions?

A: On Knoppix 5.0.1, other filesystems are mounted read-only by default. To enable writing on a filesystem, you can right-click the partition icon on the desktop, such as 'hda1' and select "Change read/write mode". The filesystem needs to be mounted before you can change the access mode. "Change read/write mode" menu selection does basically the same thing as the shell command 'mount -o remount,rw /dev/<device>' where <device> is your partition, such as 'hda1'. Also note that changing the permission bits (read/write/execute) of the device or the mounted directory won't enable writing access. Writing to NTFS is supported from Knoppix 5 up, though caution is advised since the support is still more or less experimental.

Since this is such a frequently asked question, here is a screenshot of where you need to click to enable writing http://joga.daug.net/readwrite.png