APT to the rescue!
Steps to install software easily on KNOPPIX via command-line APT
You probably could use Synaptic Package Manager or aptitude in KNOPPIX as well, but one of us doesn't like graphical interfaces. ;-) (I have used aptitude to look at the packages, but not to install them.) Therefore, this statement remains untested.
Get to a root shell by pressing Left Control, Left Alt, and F2
Type the command apt-get update
Wait for KNOPPIX to fetch the Debian Repositories. (Insert waiting music here :-)
The command apt-get install wesnoth will install the latest stable version of the popular FOSS game called The Battle for Wesnoth.
Happy software management!