Well, first of all you need to install the appropriate tools. You need to download the dpkg structure - do this from the "Extras & Enhancements" menu, and then type:
apt-get -f install
apt-get install gcc g++ make
(just answer yes to all the questions).
Then you'll have the appropriate tools to compile your software.
The dockapps are most likely installed in /usr/bin, and they should begin with "wm" - e.g. wmacpi, wmmem and so on. If you want to make changes to the menu, edit /home/knoppix/.fluxbox/menu and add your entries in a similar format.
Also, what do you mean by affero - me being the technophobe, of course