HD Install Warning not to do it
From Knoppix Documentation Wiki
Knoppix is ..
KNOPPIX is a bootable Live system on CD or DVD, consisting of a representative collection of GNU/Linux software, automatic hardware detection, and support for many graphics cards, sound cards, SCSI and USB devices and other peripherals. KNOPPIX can be used as a productive Linux system for the desktop, educational CD, rescue system, or adapted and used as a platform for commercial software product demos. (from: http://www.knopper.net/knoppix/index-en.html)
Knoppix is not Debian
Knoppix is based on the Debian "distro" of Linux, but it isn't Debian. Knoppix is a live CD/DVD and is intended to run right from the CD/DVD or from a flash drive after "Install KNOPPIX to flash disk".
Clearly Debian runs from the Debian Live CD too, since the Debian installer runs under Debian when the CD boots, but when running from the Live CD, Debian is intended to install, where Knoppix tries to give you a rich and portable environment and an introduction to Linux before ever having to make any change to your hard disk. But it isn't intended that you just copy things to the hard disk and run that way.
Knoppix added some very cool hardware detection at a time when Debian was asking a lot of technical questions during the install; questions that some users found hard to answer, and even experienced users may have to stop the install to check their hardware or their Windows software to get the answer to. In the past some people were so impressed with this that they wrote a lot of scripts to "install" Knoppix to hard disk. In the meantime you can use the script "0wn".
The different versions problem
The problem is that there are several different versions of Debian. These are sometimes called the stable, testing and unstable versions. At other times they are known by their internal code names for the different versions. Hopefully someday the testing version will become the new stable version, but the versions known as Wheezy or Jessie will always be Wheezy and Jessie, no matter if they are called stable or not. So why is this a problem? Because when you add programs or install security updates or other updates, the design of the Debian system expects that you will stay within the same version. Packages (programs) that work under Wheezy are expected to stay under Wheezy. They are not tested to work under other releases and indeed may not work or may even break something else when installed or updated. The same is true for the other versions of Debian as well.
Hopefully by now you are thinking "So what and, by the way, which version of Debian is Knoppix based on?" Well, Klaus Knopper made a very important choice when he built Knoppix. Knowing that it was going to be run from a CD/DVD he decided that he could mix and match between the different Debian versions, as long as he did this carefully and tested everything and manually fixed version problems. For him that was a good choice. The "stable" version of Debian is usually somewhat dated. The "testing" version is usually actually pretty stable, although there may be some minor issues to be worked out or just things that haven't been tested enough for Debian to classify as stable when a distro of Linux is going to be used in a large expensive mission critical application.
There may be some software that is so new that it is only in the "unstable" version, even though that software itself is pretty well known to be stable and bug free (as much as any software ever is). So choosing to mix between the versions and test extensively for version issues allows Klaus Knopper to release a great live CD/DVD. It can contain some of the newest packages when needed. It can contain stable packages from a trusted version when newer versions have known problems, or have become too bloated to fit on the CD, or when there is any other good reason to stay with an older version.
Why not upgrade Knoppix?
This mixing of different versions works out great for a Live CD/DVD where everything has been tested to work together well. It does not work out so well when you take that combination of carefully tested and balanced (and maybe hacked to fit) software and install it to hard disk, particularly if you ever install anything else or try to update or upgrade any of the current packages. That makes the package manager do things that it is not intended to do with parts taken from the different versions.
It's the same with "KNOPPIX flash disk install". If you ever try to upgrade the whole installation, you'll run in trouble because of violated dependicies and in the end your system is broken. If ever needed you can try to upgrade some packages step by step using aptitude and his options (read "man aptitude" about the possible options).
If you are a hard core experienced Linux user, then the advice to not install Knoppix to hard drive or to upgrade may not be for you. Such people may have the experience to resolve these problems and may enjoy the challenge of taking a version of Linux from a Live CD and putting it on a hard disk. But installing Knoppix to hard disk is not advised for the average user.
The good news is that Debian and many other distros intended for install to hard disk have improved their installers greatly since Knoppix first came out. But unfortunately many people tend to look at Knoppix as the first version of Linux that they ever get running on their system and then are not willing to look any farther when they decide to install Linux to their hard disk, and are not willing to listen to the warnings, particularly when they hear that there is a "KNOPPIX HD install".
It is sometimes said that Knoppix, once installed to disk, basically becomes "Debian". This is an unfortunate statement that I believe is often taken out of context. For people who have decided to install Knoppix anyway and have managed to get it working, then indeed Knoppix is sort of Debian since it is based on Debian, and you can turn to the Debian resources for answers to your questions (although the Debian forums are well aware of the Knoppix problems and usually will refuse to support a Knoppix on hard disk install). But it would be a disservice to users to suggest that when you use the "KNOPPIX HD install" script then you have what you would have if you had installed Debian.