Windows is probably on the master drive, and Knoppix on the slave drive.
When the PC is turned on, it boots from the MBR of the master drive. On some PCs, you can change this by swapping them in the BIOS, I think.
You need to install lilo onto the MBR of the windows drive, with a proper config.
In knoppix (from the bootcd), check that there is a decent /etc/lilo.conf file, then run:
'lilo /dev/hda' (assuming the Windows drive is primary master. It would be /dev/hdc if it was secondary master)
I think that should work...