Always active, TuxMachines have a guide for installing Knoppix on an USB key.
Of course, it can be even more portable when it runs entirely off of an inexpensive USB key. So let's install it to a 1 GB USB key, and create a persistent home directory in which to store files. Only let's do it the lazy way, and keep use of the command prompt to a bare minimum.
You will need a copy of the latest Knoppix CD (v5.1.1 as of this writing) and, of course, a 1 GB USB key. If there's any data on that key you want to keep, save it before starting, because the key's going to get repartitioned (and reformatted) and any existing data will get wiped out.