Hi,
I'm preaty new to Knoppix myself, but I have run the CD on two differant computers and have done a HD install on two. One being a duel boot with winXP.

I think I can answer a couple of your question.



Will it leave anything in my hard drive?
No, not running it from the CD

Can 'Wine' run programs like MSN Mess, AIM, and KaZaA?
I'm not to sure why you would want to run Wine for programs like MSN mess.
Gaim works really well.



What all does Gaim run? I heard it was like MSN..? Can it run Yahoo, AIM, ICQ, etc?

TOC
AIM/ICQ
Yahoo
MSN (what I use, works great)
IRC
Jabber
Napster
Zephyr
Gadu-Gadu

I'm learning about knoppix/debian myself , but I hope I was of some help.
I'm sure other members will be along to answer your other questions.