@Raaza
If you are using network interface (not USB) to connect to the net, then start the net, connect the wire then boot into knoppix. If it can detect your network card (which it most probably will), then the connection is configured automatically...
And the same thing worked for me in Ubuntu 6.06, 7.04. OpenSuSE 10.2. And even in Knoppix 4.2.3 and 5.0.1. And Slax latest.
Aditya