Hey guys, thank for all your help. I had successful burn KNOPPIX_V3.2.

Just to summarise, how I succeed:
Use Nero software, if your Nero software started with a 'New Compliation', quit it
Then from the File-Burn Image-choose the file KNOPPIX_V3.2xxx.iso-Write

Once it is burn into the CD, the CD will contain the unzip version of the ISO file.

Hope this will help other peoples whom are unfamilar with burning KNOPPIX.