Which you can use running from the CD and if the file system on the windows drive is ntfs then you cannot save a file to it unless you have a version that has the captive-ntfs driver.
I can save things with PHLAK to my hard drive (I'm using XP Pro) so does that means that PHLAX has captive-ntfs driver and Knoppix/Gnoppix doesnt?

How about saving things to my FLASH USB Thumb drive? Can I do that?