Ok, let me be a little more verbose...
A Poor Man's Install of a Linux Live CD consists of:
1) Saving the .iso file on your hard disk
2) Booting with either -
A) A floppy disk containing a boot program that will launch your .iso file as if you were running the live CD
B) The Live CD which you then tell (via "cheatcodes") to launch the .iso file instead of continuing with the CD
About cheatcodes: Usually, a Live CD will give you the option at boot-time whether to continue booting as-is or to enter optional codes to direct the system to do different tricks. Some of these include loading the system entirely into memory (w00t!), loading extra drivers for weird hardware (parallel-port CD burners, etc.), choosing an alternate graphics mode, etc. Knoppix has cheatcodes that allow you to read the system from a location other than the physical CD. Knoppix has a boot cheatcode called "bootfrom" that does just this. When you see the splash screen with the boot options offered, type after the "boot:" prompt
(remember, Linux uses forward slashes...)
if you put your knoppix.iso right on your C:\ drive then it would be:
Let me know if I can be any more help.
P.S. A while ago, I had quite a bit to say over here
on the subject of Linux. Hope it helps.