I've gotten Knoppix to share drives, but sometimes I have a lot more trouble than other times, and I really don't understand why. Others may be able to help talk you through that, it might be helpful if you tell them what version of Knoppix you are using and what type of system you want to connect to.

Personally, the way that I resolve this is to install a simple FTP server on the Windows box that I want to transfer files to, then use the browser in Knoppix as an FTP client to transfer the files. I used to use Konquror in prior versions of Knoppix, have not done this yet with Knoppix 6.2 but I understand that Konquror may be missing in that release. Other browsers should still work as an ftp client, or even the command line FTP client, but this is all theory and the proof is left to the user.

One nice benefit that you would see from using an FTP arrangement to transfer files is that FTP is much much faster than Microsoft file sharing, particularly when they are file sharing with Linux (Which they seem to deliberately make slower).