What went wrong? You didn't write LILO to the MBR. Instead you wrote it to the partition you installed Knoppix on. You can fix it. Edit /etc/lilo.conf so that it says:

boot=/dev/hda

Also specify which partition you installed Knnoppix to. For example:

root=/dev/hdb2

As was mentioned by padlamoij don't forget to do: /sbin/lilo. If it returns no errors you are set.