In a configuration file called located at /etc/apt.conf
Check out the manual page man apt.conf
You may like to use the repository for Debian Sarge, which you can look up in a google search, to bring you inline with Debian's stable release. Or just continue to use the knoppix one.
Also, you may like to check out the 'synaptic' frontend to the apt package manager.
apt-get update; apt-get install synaptic
You should run this as root.
Additionally, I believe that a standard knoppix install has no root password.
Set it as follows:
sudo su -
passwd root
Please bear in mind this is drawing on my memory, I havnt used a knoppix hdinstall for a good while.