Adrienne,
Obviously not Cathe, but I have had similar problems. Are you stepping every day? Or, doing anything high impact very often? This may be the problem. Also, if you are doing anything over and over this may lead to injury. I found it out the hard way. I love step, and was doing it almost everyday, but the knees couldn't handle that much step. Without knowing your history, or medical ailments, I would say that you may want to back away from doing step as often. You can also lower your step height or not use it at all for the time being. It is hard to get used to not using the step, but it will fall into place. If you are doing to many leg workouts per week this may be the problem as well. Make sure you are doing squats and lunges correctly. You may have to decrease the weight until your knee is strong enough.
I guess what it is ultimately down to is the actual changes in routines, the type of routines, and the resting days that you provide yourself with. Even if you do low-impact step it is still step, same with the high step. If possible, try to incorporate low-impact floor aerobics and lowered step while you are "taking it easy". I only had to "take it easy" for about a week, but everyone is different. I know it stinks especially when you are on your way to losing the weight, but in the long run your knees will thank you.
Once you get back up to par, try mixing up your routines and aiming for only 2 high-impact classes a week. There are so many variations in Cathe's workouts that you can effectively lower the impact down on many of them. Also, make sure you are stretching and taking your resting day(s) off. I am sure you are already eating healthy, but make sure that your diet has essential vitamins, nutrients, and proteins to help build back the muscle. Oddly enough, when I started strength training my knees it really helped relieve the strain. Then, I really cleaned up my eating habits and it helped even more.
Good luck.. I know any injury (or strain) can dampen the spirits. It is a sign, though, that you need to take care of your body. Your body is giving you a warning now, so hopefully you can change/modify whatever you may be doing that it doesn't like before you get injured.