First the good news.....exercise shouldn't be painful.
The bad news......it takes will power and patience.
Let me explain.
The number one reason people try then stop exercising to help their knee arthritis, is that they go too hard too fast.
Suddenly attempting something you haven't done for years and doing it until you can't do any more is a sure fire way to cause a flare up and put you off exercise for life.
You need to think about what you are trying to achieve. In order to build strength to support your knees, you need to do more activity than you previously were. By overdoing it, you end up hobbling around for the next 3 days,walking half as much as usual. This attempt at exercise results in less activity.
Therefore, to increase you activity level and build strength, you need to find some exercises that don't aggravate your knees.
This is not an easy task, especially for very painful knees. That is why it is best to consult a physical therapist with experience in this area.
I do appreciate however, that financially this won't be suitable for a lot of people. In this case I would recommend getting a book on the subject ($10 isn't too big a risk to take) but remember the point I made above. A book will provide general advice and all exercises won't be suitable for you. You will need to do a bit of trial and error, but do it scientifically. Try one exercise only and see if it bothers your knee. If not, it will be one to keep. If it does, put it aside for now and try another once things are back to normal.
Exercises you initially reject may be possible later once your strength increases.
You need to find some exercises you can keep on doing for 6 weeks. This is how long it take to increase your strength and start to feel the benefit.
Will power is a key ingredient.