What can I do to keep my knees warm?
You can get explicit cycling knee warmers - I have a pair of these which see a lot of use (and sometimes go under jeans, very comfortably, if I'm out of an evening too). They are great for the morning commutes where it is cold but likely to be warmer by the time of the return journey, but also for the longer rides where you start colder than you'll finish and you need the flexibility to remove bits of kit. You can get fleece lined versions which are even warmer. 

They're not cheap - but there are other cheaper alternatives designed to a similar style. 

They don't offer explicit knee support, but if you need support for your knees when going about your day, then I doubt a cycling Q-and-A site is the best place for your question. 

Similarly, if you think your cycling is causing your knee pain, I'd recommend a visit to your local bike shop and ask them about whether your bike is fit and adjusted properly.