By Default ALL drives on your system are marked as read only, and you have to manually change it to a writable setting. The files that you save in knoppix (unless you save them to a thumbdrive, CD, Floppy, etc) are only saved into your memory, so when the system goes down, all of that data is lost, but it won't save anything to any where that is damaging.

P.s. the new version of knoppix is supposed to allow NTFS writing due to the fact that it is implemented in a way that allows it to use the windows drivers for it.
Note: (not mine from an aquantance at my LUG, who is a coder on that project) Currently, you are able to write to NTFS drives as long as the file length stays exactly the same (way to much of a hassle, so don't bother until you are a master of Linux and Windows).