go ahead and use mandrake, but knoppix is perfectly fine to learn on, it has some bugs sometimes, but its perfectly usable, having linux installed on a hard drive makes things slightly easier though
then start learning about linux, get to know what BASH is and how to use it, and how to use the command line effectively
learn the ins and outs of the linux file structure/system, you will need to know where stuff is and why its there, it isnt windows
learn about networking
try all the GUI's out, find one you like
learn what programs you like and will use often that replace what you used in windows if you came from there(most people have), then setup a linux system to your liking.Its better to learn and make some mistakes before you jump in head first and setup a system, that way you dont get frustrated and have to do it over when you break something and dont know how to fix it yet
Thats what makes knoppix pretty cool, you wont break it.