It depends on your knee problems. If you are able to do squats as Larissa says then great.
I know people who would be able to do squats, but would suffer for at least a week after. I would suggest slow controlled step overs, to start to build the vastus medius muscle, which will help take the pressure off of the knee.
Step overs. Take a bench. Step up and over touching the free leg to the other side. Do this slowly, then return, build to 30 repeats This maybe too easy, so raise the height. If this is done in a controlled manner it will help strengthen the supporting muscles.
Also, cycling may help.
It just depends, the extent of the problem. Find what works for you.