The most obvious way to obtain a copy of Knoppix is to download an image of the CD and burn it yourself. Then it just costs you the price of your internet connection and the price of a blank CD (or more than one if it doesn't work first time!). If you don't have an internet connection, or it's too slow / expensive / unreliable to consider attempting a 700 Megabyte download, then you can opt to buy a copy of Knoppix instead. And if you don't have a CD burner, the download won't do you much good either.
Several online retailers allow you to buy all sorts of linux-related CDs and have them posted to you. This makes a lot of sense for the larger distributions (for example Debian 3.1 is expected to require thirteen CDs for a full installation!) but many of them offer Knoppix CDs too. These will generally be burnt to order, and be sent without flashy covers or manuals - you just get the CD. But they're cheap, and they're saving you the trouble of downloading, checking, and burning. For a single CD, the postage charges may make up a substantial portion of the cost.
Some linux magazines may from time to time include a copy of Knoppix on the cover CD, but this is somewhat unpredictable. Another source would be to buy a Knoppix book, which as well as including guides, tutorials and information on getting started with Knoppix and Linux, often provide a CD as well. The disadvantage with that is that the version of Knoppix provided with the book may be a few iterations old - for example at the time of writing version 3.7 has been available for several weeks, but the bookshops are still offering version 3.3.
Downloading your own copy ensures that you're getting the latest (and presumably greatest) version on offer, and also allows you to select your default language (although with boot options this isn't so important). Check out the knoppix.net site for details of mirror sites, and find a server that's near you. It makes a lot of difference to the transfer rates. It may also be worth checking out debian.org's download mirrors too, as they may offer Knoppix as well.
Once you've found a suitable mirror and selected the version you want, download the .iso file and save it to your hard drive. This is the packed image of the CD's contents and ready to be written straight to the CD, but after you've checked that the file is OK. To do this, look on the server for an MD5 checksum file which should go along with the .iso image, and download that as well. Then you need to generate an MD5 checksum from your downloaded .iso file and compare it with what it should be. It's possible that the file you downloaded was corrupted or truncated during the download, so it's worth checking it before you waste a CD.
If you already have a unix-like system, you probably have a utility called md5sum to calculate the checksum for you. If not, you can get a java utility to do it for you - there's one made by the open source Jigsaw project at w3.org. If you don't fancy the 4MB download just for an 11k java file, you can take it from the dupliFinder project at SourceForge instead. Firstly extract the Md5.java file and compile it with javac. This can then be run with the .iso file to generate the MD5 checksum, and that can be compared with the one provided by the server. I've created a helper class to make the checking a bit easier (and more reliable than comparing by eye!) - download the Md5 checker jar from the downloads section for the code. If after all that, the checksums match, then the iso is ready to be burnt onto CD.
It's important to create the CD from the image, and not just create a data CD with the image file on it. Your CD-burning software probably has a separate option to burn from an image, so look around for it. A CD which just contains an .iso file is no good. Using Nero (for which you can get a limited-time trial edition if you need it), you need to exit from the wizard which pops up, and look for the separate menu option. Once you've selected your .iso file and your burn speed, that's all there is to it.
Once the burn has finished, you can check whether it was successful. Look at the CD in the normal file explorer - it should have a handful of files
and directories in there, probably with an index.html file and almost certainly with a KNOPPIX
directory. If that's the case, it's ready!