Dear Meebo Guest Who May or May Not Have Gotten the Last Part of Our Chat:
The name "Ku Klux Klan" comes from the Greek word for circle, kuklos. The change from a "c" to a "k" in klan was just, presumably, to keep the K theme going.
Hope this answers your question!
P.S. I found this in the Encyclopedia of African American History, 1896 to the Present: From the Age of Segregation to the Twenty-first Century.