Since knoppix is based on Debian, you can use apt-get:
http://newbiedoc.sourceforge.net/sys...get-intro.html
Since the normal interface is not so easy to use (but once you know it, very fast), I recommend you to install synaptic:
open a konsole, type "su' to become root, and then type 'apt-get install synaptic' (if you get errors, you may try to type 'apt-get update' first).
afterwards you can run synaptic by just typing 'synaptic'.
A good guide about synaptic is:
http://articles.linmagau.org/modules...tid=389&page=1
It's a pretty easy program to install almost all other programs.