The knot vector is the collection of "Knots" that tie together the B-Spline Basis Functions. The knots can be viewed on the "B-Spline Basis Functions:" canvas. They are portrayed by the red dots at the bottom of the canvas.
Knots define the range in "time" that a given basis function is active. You can modify the knot vector by selecting a knot with the left mouse button and dragging it to a new location. Experiment with this to see how different knot combinations affect the curve.
Try lining up several knots on top of each other. You will see that the continuity of the curve will drop by one for each knot in a the column.