KarinRose, I used to run with a knee brace. You can buy one at any sporting goods store, or even at CVS, and give it a try. If it feels better to run with it, I say, run with it!
One thing to think about is why your knee is hurting in the first place. For me, after months of pain and blaming my knee, I finally discovered that in my case the culprit was actually my ankle. Yes, I already had gone to a running store and gotten properly fitted stability shoes that would protect against my tendency to overpronate. But apparently I roll my ankle so much that even stability shoes don't always do the trick. I started taping my right ankle and guess what -- no more knee pain! So for me, the knee pain was indicative not of a knee problem, but of an ankle problem. So bracing the knee provided a little relief, but bracing the ankle is the real answer. Of course, everyone is different, so you may have a knee issue, or an ankle issue, or a big toe issue... just something to keep in mind!
Of course, a little bit of discomfort is normal for us, but don't run through any serious pain! Be careful with your precious self -- you're the only you there is!