What the Doctor really means is that you need to strengthen the muscles in the thigh, primarily the quadriceps (front of the thigh). Once this muscle group gets stronger it takes the stress off of the knee joint. In turn, you'll have less pain and feel better.

My Doctor says "I have to strengthen my knees".

Treadmill walkers...

Are you always on the treadmill? Is that your favorite exercise vehicle? Probably, because it's the easiest for you. Tried and true. Next time you hit the gym, try the bike. Most people hate it because it fatigues the legs so quickly. Which is exactly why you should ride it. The bike is a great leg strengthener. Get on the bike first, while your legs are "fresh" and increase your time with each ride. If you can only ride for 10 minutes - that's okay! Just finish up your workout on the treadmill. You will see definate strength gains in the legs just by making this small change in your routine 1-2 times a week.