I'd get it running from the live CD first, then try a HD install. Depending on which script you use, you're likely to have to do some configuring-by-hand, but my last HD install was a good few months ago: do check the documents.

http://www.knoppix.net/docs/index.php/HdInstallHowTo

http://www.knoppix.net/docs/index.php/HdInstallHowTo

and, if you want to get sound running (at least -- almost certainly -- with the built in sound) you'll need to run alsa-autoconfig on the HD install once it's on as root.

But have fun: Knoppix is still my favourite HD install of Linux.