You also have to make sure that you are correctly burning *.iso images to a disk.
www.linuxiso.org has some HOWTOs of how to do this with some of the more popular burning utilities for Window$:
http://www.linuxiso.org/viewdoc.php/howtoburn.html Once you burn the CD correctly, make sure you have your BIOS set to boot from CD before Harddrive, like root@localhost said (If you have never messed around with your BIOS before, you are most likely using factory default settings which, more than likely, boot from the harddrive first. You will need to change that. Depending on your BIOS, this is usually one of the F keys ((F7 F2, etc. or the DEL key.)))
If you are using Knoppix, you have a full Linux system (a very adept one), right at your disposal. Plus, you didn't make even one change to your harddrive. Naturally, the "Live" CDs run considerabley slower than an installed system. You do, however, have the option of installing Knoppix right to the harddrive, if you so desire. I like Knoppix. To serve a desktop system, you couldn't really ask for anything more. You get a fully working Debian-based distro that gives you APT, and it is A LOT easier to get rolling than an official Debian release.
To start you off, I found this tutorial to be informative, interesting, and well organized:
http://www.linux-tutorial.info/cgi-bin/display.pl?224&0&0&0&3If you want to give the Knoppix harddrive install a try, Creedon ( a guy that used to post here ) wrote a tutorial:
http://www.linuxjunior.org/cgi-bin/pet/pet.cgi?SUBMIT=Display&id=82If you have other questions, especially those that are initially confusing to a newbie (like partitioning and Linux device names), feel free to ask. The "help me install" topic is just too broad. You have to break it down, piece-by-piece, and let us know what is troublesome to you.