Hi guys!
Sorry to hear that you're knees are bothering you. One thing that you might want to investigate are your shoes. I know a lot of people use/recommend cross trainers for Insanity, but one thing that you do want to make sure is that you have shoes that have the appropriate amount of arch support for your feet. If you have arches that fall/collapse inward (overpronate), and don't wear supportive shoes--you can get knee problems/injuries, plantar fasciitis, achilles pain etc.
I have posted a write up, video and pdf article on my thread if you want to take a look at it. It explains all of this stuff in more detail.
Click here to check it out.
Also, if your knees are really sore, you might want to consider taking a day off or doing some cross training to give them a break. There is nothing worse than hurting yourself so it puts you out of the game. Also, practice the RICE: Rest, Ice, Compression, Elevation.
Best of luck, and feel free to contact me if you have any specific questions about this stuff.

Coach Zarno