at startup, when you see the memory-counter, your processor etc etc (just 1 sec after you hit the 'on;' key on your pc) you will see somewhere "hit DEL to enter setup". If you have an HP pc, or Compaq, its maybe F1 or some other key, you should check the documentation about this.
Then you will enter the BIOS utillity. Its a blue screen, no mouse, just text. Then, I guess its the first or second option, you have to look for "boot sequence" or something like that.
for example, in my bios, it says:
"First Boot Device = CD"
"Second Boot Device = HD1"
"Third Boot Device = HD2"
My old bios told me:
"Bootsequence = cd, hdd"
I could change it into things like "fd, hdd"; "cd, fd, hdd" etc

You MUST ensure the first thing booted is your CD, cuz thats where knoppix is...

But, if you now this much about computers that you never heard of ISO-images, BIOS-screens etc I dont think Linux is something for you. WinBlows does everything to think for you, but in Linux you have to think for yourself, and if you dont know anything you wont really be able to work with it.

Of course its a good thing to learn about it, this way, but remember if you want "a free windows" you are really in the wrong place. Linux is NOT windows, its very different in nature. It's filosofy is power on the users hand, unlike m$ filosofy which is something like money in our hand. They make it as easy as possible, without features and "extra's", and because of the hardware support you never have troubles (exept the crashes, virii, etc etc). And if you have, you're damned, cuz they wont help you (like we, as being part of the linux community, do)