I did this just yesterday afternoon. Some of what I'm going to tell you may repeat what you've already done, but I'm going to include everything in case some other newbie wants to try this.
At the top of the Distrowatch page is a pull-down box to select a distro. Selecting Knoppix (or any other distribution) takes you to a page with more info about that distro. Somewhere on that table of information is a link titled "Download Mirrors".
When you click it, you'll go to a page with a laundry list of sites you can download from. Pick one; most people pick a site near them. In my case I picked the Purdue HTML site.
Based on your original posting, I suspect you got this far and got overwhelmed by the options. Most of the Linux crowd at TR think lots of choices are good, but as a newbie I find too many options is intimidating. Here's a quick breakdown on the options on the Purdue site; if you select others, your mileage may vary.
You're interested in the big files (695 megabytes or so) that end in .ISO. Think of a .ISO file as the CD version of a .ZIP file. You'll need CD burning software to turn the .ISO image into a usable CD; more on that later. Most of those 1kb files with the unfamiliar extensions are used to verify that your downloaded .ISO file is complete and uncorrupted. I'll leave the instructions on those to someone who knows how to use them. They aren't mandatory or required.
If you look at the names of the .ISO files, you'll notice they have several things in common. They all include a version number (V3.8.2, V4.0.2, etc), the date the .ISO file was created, and two uppercase letters (-EN and -DE). I believe Knoppix is originally a German distro, and the -DE version is in DEutch. The -EN ENglish versions are the ones you want. Most people pick the newest versions of something (unless it's labeled BETA), so you'd want:
KNOPPIX V4.0.2CD-2005-09-23-EN.ISO
along with the KNOPPIX-FAQ-EN.txt, which is the ENglish Frequently Asked Questions file.
If you've only got a dial-up connection, be prepared for the download to take the better part of a day; my T1 at work took a couple of hours.
Once you've got it stored locally, just double-click the .ISO file. If your CD burning software isn't over five years old, it will start and ask you to feed it a blank CD. When the burn finishes, leave the CD in the drive, reboot, and Knoppix should start up.
Wait a while before you try this so some of the resident fish-eating, egg-laying, ice flow hoppers have the chance to point out all my mistakes.