I had the same problem you're having a few months ago.
I was trying to spring back from 1 year worth of sedentary lifestyle and get fit again enough to speedskate. My knees were totally killing me every time i'd do anything, especially however the stair machine.
I finally went to my chiropractor and after four adjustments in two weeks i feel like i've not had knee problems again.
he also educated me on exactly what my kind of knee problems were.
Basically my muscles around my knees were so weak from the inactivity that putting them through that much stress without stretching was shifting the caps. Seriously what helped more than ANYTHING and I swear by it now is stretching.
After you're a little warmed up, do a good stretch.
i never know what the stretches are called, but do ALL of these, not just the ones for just your thigh, but get a good balance.
do the one where you stand on one leg and hold the foot of your other leg behind you for at least a 20 count. then do the one where you plant your heel firmly on the floor and then with the other leg a few feet in front and bent, you stretch your calf and achilles tendon. also especially since you're on the elliptical do that classic runners stretch, it'll help with your pelvis, and do the one where you sit in a butterfly with your feet together and you lower your torso as far as you can forward keeping your back straight.
do them after your warmed up a little (usually i do mine about 5 minutes after i get on the elliptical) then after you're done.
seriously i would recommend a chiropractor if you can afford it at all. even if just one or two visits. General medical doctors pretty much suck when it comes to structural things like that and tend to just give you painkillers or tell you crappy advice. Medical doctors are great for everything else, but chiropractors do ALL of their study on muscle and bone structure and movement and sports injuries.
plus they're awesome as **** when it comes to giving you free advice.
I bought an elliptical last week after another month of inactivity and my first few days my knees were hurting again, but as my muscles strengthened, they don't anymore.
If you have the pain that makes you wince, though, check that stuff out with a doc, girl!
You're right though it's fun as ****. Makes you feel like you're running.
Either way, you rock for loving any exercize machine. Some people are doomed to hate them.