Knees problems are so complex, it could be a million things.
If you're just looking for some compression support that will help keep the area warm (which really can make all the difference in the world), then you can find any number of full-sleeve or velcro variations at a local sporting goods store like Oshman's or Sports Authority or whatever's in your area.
But keep in mind that the real benefit of those braces you can buy at Oshman's aren't to add structural support. The primary benefit of those braces is for joint warmth. For any REAL structural knee support, you need an expensive custom brace, like a DonJoy. And that should be after evaluation by a doctor because it probably means there are bigger problems.
Another thing that could help you is if you're knee pain is caused by patellar tendinitis, then one of those patellar straps worn just below the knee cap can provide some relief.