I went to a pretty reputable sports doctor here in Houston for the same exact reason with my knees. The Dr. is part of a team of doc's that treat the NFL Texans team here so I am trusting he is good.
He told me he feels the supplements you are talking about are a WASTE of money. It has to do with how the supplements are metabolized, can't recall the exact explanation but he felt there was no way they could help. And they are expensive. He told me to save my money.
I have the same issues with my knee. I joined a gym 6 months ago and have strengthened my legs....it has worked WONDERS!! If I do a lot of lunges, I still experience knee soreness when getting up from the floor, etc. but nothing like before.
If you are overweight, that is your BIGGEST issue. If you read about weight and knee issues, you will see that excess weight puts extreme pressure on your knees.
Also, women are more prone to knee problems b/c of our hips, something about the ratios of our hip width being wider than mens. Yea for us :(
Any exercise to strenthen the front AND THE BACK of your legs will work. Work your hamstrings as well as your quad's. Hamstrings are usually far less developed. You can easily look up exercises to build these muscles.