All your games and saves are in the Saves and Worlds subfolders of the Knytt Stories installation folder. If you simply unpack the KS zip file onto the same folder, your levels and saves won't be deleted, only the data, executables and the two levels included with the game will be overwritten.
If you want to do a clean reinstallation, you could also copy the Saves and Worlds subfolders somewhere else, then delete your KS installation, install it again and then copy the two subfolders into it.