When using Knife, the cursor changes to an icon of a scalpel and the header changes to display options for the tool. You can draw connected straight lines by clicking LMB, marked with small green squares. Red squares are already defined cuts. Surrounding red squares mean that there is a cut already in that position, so no additional vertex will be created (besides the first one).

If multiple objects are selected before entering Edit Mode, then knife cuts will affect all of those objects.

Mesh before knife cut.

Knife cut active.

After confirming knife cut.