Yes, it worked. I'm typing this message from Iceweasel in Knoppix 6, booted and running from a USB drive. So I can confirm that the instructions contained in http://www.pendrivelinux.com/usb-knoppix-510/
do work for Knoppix 6, if you have an ISO downloaded from the Knoppix website, or a mirror site. However, I did construct this bootable USB of Knoppix using Windows XP because, as you say, it is a Windows program. Cannot confirm whether it would work if I was doing it from Wine.