you have to boot in run level 2 before the cd starts the kde session how to do this is, when the cd first starts and it says boot you can type in knoppix 2 and then the computer will run as normal...however you have to manually start the kde which on the root login screen type

/etc/init.d/xsession start

from there the kde will start and when you choose logout the computer will not fully shut down...when you are finished type in the command line

shutdown now

that will do the trick for you, let me know if this works out for you