You can copy and paste your partition table from cfdisk. Post it here please. Here is a cfdisk how-to that may explain partitioning a bit further for you. An easier tool to use would be qtparted. Simply open a terminal in Knoppix and enter sudo qtparted. That will launch a nice GUI app. You can add, delete and resize partitions with qtparted.

What is your total drive size? Be aware that windows will only install to /dev/hda1 so if you want a windows installation it is advisable that you do it first. Knoppix will install to whichever partition you want it to. Cfdisk isn't telling you which partition you have to install to it is only telling you what it sees. Actually cfdisk has nothing at all to do with installing Knoppix. It is only a disc partitioning tool. A simple answer to removing windows is to just delete that partition and recreate a new one in its place. Then set it as a Linux partition (type 83 in cfdisk).

You can actually be online at the same time you install. I would suggest firing up xchat, go to irc.freenode.net and /join #knoppix. There are alot of friendly people there that can assist you along the way.