It did not boot...
You haven't had much luck, but there is no harm done, just a failure on the part of the live-cd to load and boot. What is the system hardware that you have?
Can you try again and run the check function that is on the boot menu below "live-mode" to see if your KNOPPIX is a good copy, then run the memtest option from the same menu to see if the RAM shows a fault.
The live-cd PCLinuxOS has a very intuitive GUI to find and copy files if KNOPPIX confuses you. However, KNOPPIX has many cheatcodes as a possible aid in booting, that is if there doesn't seem to be anything wrong with the CD quality or the memory. You can start with the "no..." options.