You can install Knoppix by running the knx2hd
script (in Knoppix 3.4) or knoppix-installer
script (Knoppix 3.3). However, if you are a newbie, I would highly recommend against doing this because Knoppix installs the bootloader by default without regard to dual-booting (in my humble recollection; I could be mistaken about this). You are expected to edit /etc/lilo.conf and re-run lilo after an install to include WinXP in your bootloading options.
Remember, Knoppix is intended to be a LiveCD, and was not designed for a hard-drive install (although it can be done, and gives you a good workstation relatively pain-free -- it's what my family uses for a multimedia / home office system). More information about Knoppix can be found at http://www.knoppix.net
You might want to consider Mepis
as an alternative; Mepis is a Knoppix variant that uses a GUI installer. I believe that the Mepis installer will accommodate a dual-boot system, unlike the Knoppix install script, but you can peruse the Mepis site, or e-mail the Mepis developer to make sure.
As far as moving a "folder" (in MS-DOS and Linux, they're called directories) from one partition to another: as long as your Linux kernel supports reading NTFS filesystems (and the Knoppix kernels do), then boot into Knoppix, mount your NTFS partition, run Konqueror and copy the folder from the NTFS partition to your new partition.