I think the "terminal server" option in Knoppix has DHCP and NAT.
You could just start that, hook up your laptop to the Knoppix machine and see if it works (don't boot via PXE though).

try: sudo /usr/sbin/knoppix-terminalserver

I take it your desktop PC has 2 NIC's, 1 to your LAN (with an internet connection) and 1 to your laptop (crosscable); be sure you have a connection to your LAN first, and also be sure to enter the correct NIC when you start the Terminal Server.