The knopix 3.3 Cd has about 1.8 GB of uncompressed data on it. You would not be able to install all the packages. Since knoppix was never meant to be installed to the HD i do not think that there is an install program that lets you decided what packages you can install. I know that knoppix-install and knx-hdinstall dont have this option.

You could have knoppix as a compressed fs on your HD and run it like that, but that would not be much different than running the CD and just writing to the HDs.

Why do you need it installed?