I agree with Patty about making sure you have proper running shoes. Also, what type of terrain are you running on? Running on concrete can be very hard on the knees and shins and can cause problems. It is much better to run on dirt trails, tracks, or grass.
Also, depending on how much weight you are carrying and how in shape you are (need to go read your progress thread) that can put stress on the knees. If you are experiencing pain, I would advise taking it slower and even walking for a while until you build up sufficient leg strength and then ease back into running.
Of course, when you have any type of pain, seeing the doctor is always a good idea. There are several things that could be wrong with the knee. I sprained my knee once ( didn't know it was possible) and couldn't run for quite a while and I recall something called 'water on the knee' that my sister had that caused pain as well as other things.
Hope the pain goes away soon!!!!