I've copied
nice --22 cp -a /cdrom/KNOPPIX/* /dev/hda3
as it was recommended, and there is no initrd.gz in /dev/hda3.

I tried to make initrd.img with mkinitrd from lib/modules/...2.4.22-xfs . It was generated of 3.4MB, and after including it to lilo.conf
initrd=/boot/initrd.img
Result was the same:
Kernel panic, cannot mount root filesystem on 0303.

Ok, I'll try to install Knoppix3.3 with knx-install script, may be suitable initrd.gz will be generated.

Additionally, there is a some problem when Knoppix3.3 minoroot.gz trys to find Knoppix3.3 compressed core on any HD partitions. Floppy boot from Knoppix3.2 can find Knoppix3.3 core, but cannot handle it. Knoppix3.3 miniroot.gz cannot find core.