This is how I did it with two HDs.
The Set up

IDE 0 channel 0 XP HD
IDE 0 channel 1 Zip
IDE 1 channel 0 Knopix HD
IDE 1 Channel 1 DVD

When I installed Knoppix I removed my XP HD temporally so I would have no way of messing it up. Then I did a HD install of Knoppix tacking all the stander options for the install. One of the options is to create a boot disk, I did so. Reinstalled XP HD and every thing booted just fine. If I want Knoppix I boot with the boot disk (different than the one used for the CD) or chang my bios to boot to that drive first. If I want XP I just boot as normal.

Yes you need 2 HD but it is safe and easy and cheep.

Later
Ben