I am confused, so i apologise if this sounds a little patronising, but i'm going to go through some basic points here.
Actually this may sound alot patronising, but needs to be done.
Knoppix is an operating system. You therefore need to boot into it from cold, in the similar way that you boot into Windows when you turn the computer on. But you do not boot into Windows.
You therefore need to have the Knoppix OS downloaded and saved onto a disc.
You can get it from
here for example.
Or
here. Let us know if you are happy and familiar with downloading torrents etc, as this is often the quickest way (using something like utorrent). There are actually a choice of 2 of the 5.11 versions, a CD and a DVD version, i'd say if you wanted to be quicker the CD version is good enough to get.
This will download an ISO file, which is a disc image.
You then need a disc burning program like Nero to
write that ISO to a disc, and then you are ready.
Once the burnt disc is written & ready, put back it into the optical drive.
Restart your computer.
If needed, go into the BIOS and set your optical drive as the first boot device, and save.
When the computer starts booting from the disc, it'll bring up a menu first of all, and the top most option will be to go into Knoppix. You can either select it, or leave it as it'll get selected after 30 seconds anyway.
Wait about 2 or 3 minutes for the whole thing to load into your computer's RAM, and bingo.
If there is anything that you want explaining better, please post back again.
Once again, really sorry to sound so blatant and i'm sure you know all the above already. (Maybe it'll be useful for someone else one day?)