Nope, no damage worries. Well, don't write to your NTFS drive if you can help it. It probably won't hurt your system, but that's still experimental for a reason.
If you're on dialup, you need to edit the /etc/resolv.conf script to make your ISP accept your login. 'man resolv.conf' typed into a terminal (dos-looking thing) should help you with that. There are several possible catches to this. First, you're going to have to do this each time with knoppix, because knoppix is going to be a new system each time you boot. Second, use something newer than RH6. I started with 5.2, and I wouldn't wish those old days on any newbie. (They weren't that bad, but that was much older hardware.)
The biggest problem is probably your hardware. You got a "good deal" on that computer? Chances are, you got a winmodem with it. It saved the manufacturer a buck or two, but Linux-wise, it's a headache. There are ways around it, but the best thing to do is buy a hardware modem (one that's not crippled--software (winmodems) are missing a chip(s), forcing your PC to do the extra work--that software is usually proprietary/patented--which brings up both practical and philisophical issues).
Put simply, a "full" modem costs about $15. A winmodem costs $13. MS all but owns the winmodem market. 'nough said.
Lastly, no, you're not too inexperienced with Linux. You're simply used to another OS. Put in realistic terms, remember how long it took you to become comfortable with your first OS? Expect a similar amount of time with Linux. Not because Linux is harder, but because there is so much more to learn. With windows, you get to learn how to use a computer. With Linux, you can push your computer to it's limits.
For reference, the fastest supercomputer in North America is a Linux cluster:
http://www.linuxworld.com/story/44799.htm
Give Linux an honest try, and you'll never want an MS box again. It's not a religion, like some would have you believe, it's just that Windows can't offer anything close. Sure, it takes a little effort to get used to it, but every bit of effort pays off several fold.
