uhm, you are likely not starting from the CD.
Knoppix is not a program to be installed it is a separate system.
read this (one link, despite occupying two lines, just klick it)
http://www.knoppix.net/wiki/Download...o_be_burned.3F
then this
http://www.knoppix.net/wiki/Download...should_I_do.3F
these two links should help, if not ask again, would help to know what brand and model your computer is, if you have no brand name we will try anyway but likely not step by step.