Take a USB stick, mark its only partition as Linux and create an ext2
filesystem on it. In my case, /dev/sdd is the USB stick.

mount /dev/sdd1 /mnt
grub-install --root-directory=/mnt /dev/sdd
umount /mnt

Put Knoppix on the stick:
mkdir knoppix
mount -o loop ./KNOPPIX_V6.2.1CD-2010-01-31-DE.iso knoppix
cp -R knoppix/* /mnt

Put Debian installer on the stick:


Configure Grub:
Put the following into /mnt/boot/grub/grub.cfg
menuentry 'KNOPPIX' {
        insmod part_msdos
        insmod ext2
        linux   /boot/knoppix/linux ramdisk_size=100000 lang=de vt.default_utf8=0 apm=power-off vga=0x311 initrd=minirt.gz nomce quiet loglevel=0 tz=localtime
        initrd  /boot/knoppix/minirt.gz
}
menuentry 'Debian installer (GTK)' {
        insmod part_msdos
        insmod ext2
        linux   /boot/debian/linux video=vesa:ywrap,mtrr vga=788
        initrd  /boot/debian/initrd.gz
}