No OS can be secure if the user knows jack **** about it. Knoppix is a security distro but it can have some flaws, especially as it is meant to be run from a CD. I would recommend [offhand, as I have DLed it but didn't try it yet] Solaris 9 by Sun. The best idea is to lock the box completely at first, then allow processes to access the Internet as you learn more about the OS. Slack is also pretty secure, but again, if you don't know anything about it...

Look at Gore's thread. I think it's a Sticky in this forum.