what burning software are you trying to use?

I use nero personally and to make a knoppix disk i have to start nero, then cancel the wizards, then from the file menu you select burn image (I believe).. then select your knoppix iso, and hit the burn or write button then sit and relax. when it's done, you should beable to browse the cd and see various folders.

with the cd made, you need to set your boot order in your bios to put the cdrom before the hdd.. with that done you should be booting off it in no time.