No problem...
Assuming you have your partitions set up, and windows is on your first partition and you are installing Linux on the second partition. Please remember that I am running from a slackware install, while lilo will work the same for both (mostly), the slackware install has a section that helps you configure lilo. I don't know what Knoppix does for you. For that reason I will assume Knoppix does not help you at all and you have to do this from the command line.
1. Install Knoppix on partition 2
2. If knoppix starts asking about lilo - install from there
Knoppix did not ask about lilo:
1. Open the file /etc/lilo.conf
2. edit it to suite your booting needs
3. type "lilo" at the command line
I don't have linux on my work computer so I can't be *really* helpful but this page has the default slackware lilo.conf (for my computer) and the mods I had to make to it (for an example):
Here is a copy of the manual page for it, it will have all of the options and parameters you can set:
If you are still having trouble when I get home from work I will give you my lilo.conf and a little more detail from my home computer (which is running linux).