Knoppix CAN be isntalled, but isn't primarily intended to be. Knoppix is great though- as a recovery disc, show disc, and portable version of Linux (it'll boot on almost any system, and doesn't require anything to be isntalled)
It's based on Debian, so you're better off installing that though...
Linux is great in many aspects, one of the most noteable being that it is essentially free. You can purchase CDs, tech support, manuals, pretty boxes, etc., but you can also just download cd iso's free and legally. If you're incapable of that, most Linux advocates would be more than happy to get you what's necassary, and even help you get things installed and running...
linuxiso.org