The problem with installing software is that you can't write to a CD-ROM. Anything that's anywhere other than your home directory sits on the CD and can't be modified.

The things you CAN save, however, are the results of installing files with klik (klik.berlios.de), and any settings you may have changed. They work fine. There aren't any graphics drivers there though.

You CAN save files that are in your Knoppix home directory to disk.
Go to the KDE menu, then Knoppix, then configure, then 'create persistent home directory'. Unless you have space set up for a little linux partition (which you probably don't), you're probably going to want to make an image file on your C drive when it asks you.
Once the program creates the image, it will tell you how to get Knoppix to load that as your home directory.

The problem with making the persistent home directory a file on your C drive is, you can't access the C drive while Knoppix is using that file, so be warned.