Two possible ways:
1) Just install Knoppix. This will overwrite your woody system. maybe you don't want to do this.
2) Partition your HD & leave the woody system on one partition & install Knoppix on the other. You will then have a dual boot Woody or Knoppix system. You must have at least 2.4 Gig to install Knoppix & must install LILO in the master boot record to allow you to choose which system to run.