As far as I know, you can do anything you want as the root.
However, maybe there are some other reasons you can't change some files.
Keep in mind that switching to root is valid only to current terminal window, by doing "su" you can't do things around thinking you are the root. Only if you log in as root gives you the right to do everything everywhere (see link below, how to do that).
Also, some files were set up with r(ead), w(rite), x(ecutable) permissions off for security reasons. Use chmod command if you need to.
Of course, if you are running knoppix from CD only, you can't write anything on it. As soon as you turn PC off, all of you changes are lost.

Search this forum for similar problems you have, I think you can find most answers.
Here are some topics you may be interested in:

http://www.knoppix.net/forum/viewtopic.php?t=5447#24936
http://www.knoppix.net/forum/viewtopic.php?t=4049#21825

/KNOPPIX/* (ram) problems:
http://www.knoppix.net/forum/viewtopic.php?t=5499#25198

etc