Two things-

1) Werner is right, you can use Brasero to do the optical disk "burning" - it will create the filesystem and then burn it, actually, which is what you need. This is a good thing.

2) How did you go about "installing to HD"? Note that Knoppix was designed to run as a compressed filesystem, i.e. from a read-only CD/DVD. If you use the older script ("KNOPPIX HD Install" on Preferences menu) you will have a highly-customized version of Debian Linux, suitable for creating your own version of Knoppix ("re-mastering") but not really suitable for daily use as a desktop OS. You will be much happier with your results if you use the "Install KNOPPIX to flash disk" script, which will work with a hard drive, too (faster by far than flash drives.) It does require the first partition in the table for installation, which must be FAT32-formatted (standard for flash drives), but otherwise is it's quite good.

There are other ways to succeed at your mission, as well, so be sure and ask further questions if you hit a snag or need clarification. Welcome to Knoppix, and

Cheers!
Krishna