http://knoppix.net/wiki/Cheat_Codes#Micro-Remastering

In your case with HD installation you have to insert (using a root terminal) the proper cheatcodes within
'/boot/grub/menu.lst' at the "kernel" lines. Knoppix doesn't use KDE4-settings.

The warning message of GRUB install and MBR is only inportant in case of dual boot installation. If you don't have a dual boot installation, you must install GRUB at MBR; otherwise you cannot boot Knoppix.