When you start nero, press cancel on the wizard.
Then choose under the File-menu -> burn image.
Browse to the iso file and select it.
Check "disc at once" .
Then press burn (or write).

I'm writing this out of memory while not being in windows right now, but there is a FAQ on burning knoppix with nero under:
http://www.knoppix.net/docs/index.php/FaqDownloading