Nope, its just a different protocol.

Here are the steps you're looking at-

download the iso

burn an image of the iso

boot from the CD

play around and get a feel for it

use knoppix's utilites to repartiition your hard drive wihtout dataloss
(partition magic will be easier, but its not free)

1) run the install script
2) make a partition for knoppix
3) sit back while it installs. It will ask you a few questions, so read the install guides before-hand.
4) Reboot and choose to boot into either linux or windows on your XP/Debian dual-boot system