If I understand you correctly you've burned a Knoppix ISO image and have booted up into it.

1. If you don't want to install Knoppix to the hard drive, then you cannot create a permanant home directory on the disk. Knoppix reads directly from the CD and creates a temporary RAM disk. However, there may be a way to utilize a USB memory key to store your settings on. I've not done it, so if someone who has could elaborate...

2. Likewise, unless you install Knoppix on the hard drive, at which point it becomes Debian, you can't install any other programs.

All of the above are based on Knoppix 3.3. Did that answer your question?