The short answer is you can't. If you look there are plenty of posts complaining about this.

The slightly longer answer is you are supposed to have a USB stick (thumbdrive) big enough to install Knoppix onto and have space left over for persistent storage. For the CD edition a 2 Gb thumb drive should do but for the DVD edition you'd need an 8 Gb thumb drive.

To install Knoppix onto USB go to the Main Menu > Preferences > Install KNOPPIX to flash disk. The first time you boot the USB installation you will be asked if you want persistent and how much.

If you really can't to this there are non-trivial ways around it.