I am typing this using IceWeasel in a fairly recent (6.2) version of Knoppix. The "your" files are accessible from the desktop. It's as simple as clicking the "My Documents" Icon at the top left of the screen. This opens PC Man file manager at the right folder.
One thing with Linux is the (default) GUI file manager is not part of Linux in the way Windows Explorer is bound to Windows but part of the Desktop. It is the Desktop (eg. KDE, Gnome, LXDE in the case of Knoppix, etc.) that gives the GUI look and feel. Someone who might not feel at home with Gnome might with KDE or visa versa... I suppose it can be a level of confusion for someone new but I much prefer the freedom of choice with this to the MS Windows - "Take it, it's good for you" approach.