If you are using Windows...
You can use this easy burning program to burn a live-cd. Look for the option to burn an ISO image.
Burn the CD at a low speed on a good quality disk as an image file. Most live-cds, including KNOPPIX, has a media check function on a boot list when the CD goes through the boot process.
Set the boot sequence to boot the CD/DVD drive before the HDD in the BIOS or as a one-time boot and you should get to enjoy KNOPPIX. For help see here.