If you read the documentation of the disk it tells you how to do a hd install of knoppix, but if you have a recent version, I think 3.6 or newer (something like that), then just start a terminal window and type knoppix-installer, you answer a few questions and it takes care of the rest (make sure that you have a partition ready for it). If you need to know more then just look around the knoppix.com site. BTW Knoppix 4.0 is ready for downlaod, but you have to watch what you download, it comes in two versions, minimal on CD and full on DVD (and when it says full it means a full version, tons of software). Once knoppix is installed it is then considered Debian (SID I think, which is the unstable version).
Hope this helped