Let's not forget that knee problems are common among women in general. It's due to the "Q-line" or the angle from hips to knees. It's much greater than on men, so it puts strain on the outsides of the knees.
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I particularly have this problem in my fife & drum corps, as the position of attention requires you to have your heels together. All other times, I make sure I stand with feet shoulder-width/hip-width apart, though, to reduce strain at other times. This is especially important in the gym while on treadmill, elliptical, stairs, whatever, and doing squats, hack-sled, etc.
We also have the disadvantage of all having weight issues. For every 1 lb of extra weight, there's 20 lbs more impact on the knees every time you go up steps and stuff.
Here's a good article:
http://www.nytimes.com/specials/wome...0814_1176.html
Just a reminder - safety first! Do your exercises carefully and with good form, and weight-training and such can be some of the safest ways to exercise. Even if you don't currently have knee problems, keep it in mind that you're high-risk for them just for being a woman, so make sure you pay special attention to doing work involving knees/legs and do them right. But in general, always listen to your body!
--Janis