If you have copied Knoppix 6.2.1 files to a partition on your HDD and you try to boot from a 6.2.1 USB key, it will somehow switch over to loading and mounting everything from the HDD copy.
If you build an USB-Stick using origninal Knoppix-CD with menu order 'Preferences/ Install KNOPPIX to flash disk' then Knoppix will only boot from USB-Stick. Be sure BIOS can boot from USB-Stick; if in doupt disable all options to boot from HD or CD.

In general, I thought this was a nice feature, because I could copy KNOPPIX/ from the iso image to a partition on my HDD, boot from the USB key, and pull the USB key out a few seconds later and the booting would continue and complete from the HDD partition.
Why that? You can not change device order while boot process is running! Either boot from USB-Stick or boot from USB-Drive.

Greetings Werner * http://www.wp-schulz.de/knoppix/summary.html
"Build personal Recovery-CD with Knoppix (Knoppix remaster)"