Installing linux via downloading cd images has a few simple steps:
1) Download .iso file(s).
2) Checksum them to check you've not got a corrupted download. Usually md5sums (sequences of 32 characters) are posted with the links to the .iso files for you to compare to the md5 generated from your copy of the .iso
3) Burn the .iso as a cd image, not a single file.
4) Set your pc to boot off cdrom first, put the cd in and reboot.
IIRC Knoppix is a liveCD distro which means it doesnt need to be installed onto your harddrive, meaning you dont risk you current pc setup, but have no saved settings and are limited to RAM.
With a linux distribution you typically get more than simply a desktop, you'll get Office applications, server programs, simple games, programming language compilers&interpreters, multimedia tools and much more. Available for free and with the source code for you to see how it's all made.
There are other newbie friendly distros, such as Mandrake, Fedora (aka RedHat) and Suse which use a precompiled .rpm package management system to install software, kinda like Microsoft InstallShield downloads (just download, run, done). These distros also come with many nice graphical configuration tools to ease your maintainance of your new linux system.
Other distros which are considered harder to use include Gentoo and Slackware which have binary and source based installation systems, meaning you are more likely to mess with compiling, as well as hand editing config files via the command line (lots of white text on a simple black screen).