I auto run a setup script for my modem this way:
I put a shortcut in my autostart folder to run a script that activates my modem at startup. Then when I want to get on the internet, I click on a desktop KPPP icon that connects and launches Mozilla. Here's the script:

#!/bin/bash
# Save this file as modem.sh in /home/knoppix
# Set up a persistent home with Knoppix so files will stay put
# Make a shortcut called Modem on the desktop or in your autostart folder.
# In the shortcut under Execute put: sudo -s /modem.sh
# Check Run in terminal and it will do that as root
# Run this Modem shortcut to dial-up if your modem has not been activated.
# These lines, will be run as root, and activate the Lucent winmodem:
cd /home/knoppix/tmp
mknod /dev/ttyLT0 c 62 64
chmod a+rw /dev/ttyLT0
ln -sf /dev/ttyLT0 /dev/modem
insmod -f lt_modem.o
insmod -f lt_serial.o
# This line changes the user to knoppix, starts KPPP, and connects to MyISP.
# Uncomment the line if you want to use it:
# su knoppix -c 'kppp -c MyISP'
# --------------------------
# Make a desktop shortcut called KPPP. In the shortcut
# Under Execute put: kppp -c MyISP
# Where "MyISP" is the name of your dial-up account
# Run this KPPP shortcut to dial-up if your modem has already been activated.
# Set KPPP to redial on disconnect if pppd always dies on the first try.
# In KPPP, under your account, execute, on connect, put: mozilla
# If you want Mozilla to launch automatically on connect.


I use a custom autostart folder so that Konqueror doesn't launch every time I start Knoppix:
Right click on the desktop, click configure desktop, then paths, to make the change. I use: /home/knoppix/autostart. Then move showindex.desktop out and put the modem shortcut in.