@ mephi42

Look in mnt-system for the file knoppix-data.img.

I you don't have this file now, you have not established persistent store,
but you will be presented a choice at boot time, every time until you
do ask to establish a persistent store.

You only have seconds before boot goes ahead without establishing a persistent store.
It is asking for a number, like 800 or 1200 meaning 800 Mb or 1200 Mb.
As soon as you type any number, say 8, the clock will stop ticking and you can
finish with say 800 or even edit this to 1200 without things zipping away from you.

The bigger the number the more storage you will have; also the longer the wait
while this storage area is being prepared for you. Knoppix needs about 800 Mb.
If you have 2 Gb USB, you can use up to 1200 as an answer for persistence.
800 is enough, and it leaves some space for other things on the USB.

If you've stopped the clock and if your system indeed has the megabytes it will
do its thing without much intervention from you.

If you miss your chance, just shut down and re-boot. Sooner or later, you'll get it right.
When you do, you will have survived is your initiation to Knoppix 6.4.4
You are now sworn never to reveal this secret to another living being.