Well cant help you with Knopix Stuff since i use Mandriva. However, accessting content on BBC site is straight forward, If you have installed a distribution. I dont know about how to do it on a live disk though.
But for what it is worth i am giving how this can be done on an "installed Distro".
First of all it depends on what Browser you are using. If you are using FireFox then
In the address bar and press enter. It would list the plugins installed there. If you do not See plugins for windows media (which you should not, other wise you would not be having this problem),
IF plugings are missing
b) you need to install mplayerplug-in (mplayerplug-in.so) . Find the latest version for your Distribution. I used Urpmi on mandriva for installing it. I am sure knopix also has something like it since most distros do.
c) Install win32 codecs. (win32-codecs-1.8-2plf2007.1.i586.rpm , for Mandriva. i am sure there is one for your distribution as well).
Once you have done this, i think everything would work well.