I think you downloaded Knoppix 6.2.0 because it has kernel version 2.6.31. The latest Knoppix for free download is version 6.2.1 with kernel version 2.6.32. I would suggest that you download the newer version because there were some bug fixes.

The installer for installation on flash media is called flash-knoppix. If you want to install Knoppix on HDD you can use the progam 0wn. I never saw a Knoppix V 6.2 without any installer. If you open a root terminal you should be able to run one of the installer programs.