there is extensive documentation under Documentation/ directory in kernel source.
on simple search I got this link about building kernel on knoppix:
http://www.informit.com/articles/article.aspx?p=422949&seqNum=3
pretty much on most distribution, you can install ncurses and go for make menuconfig and then just make(i.e. if you are native compiling the kernel).
However the config for distributions are fairly complex these days, so you may require to build few other things like initrd and create devices files and all. Please refer to distro documentation for knoppix:
http://knoppix.net/wiki/Main_Page
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