Ive always found wearing a knee support when playing footballer restricts general movement, whilst running / kicking, so tend not to any more. (Note - I probably shouldn't be playing at my age anyway, and after a few knee ops !!)
I always suspect they offer little actual support other than keeping the knee warmer and therefore reducing the feeling of pain slightly.
As chunky says above, the best form of support is to build up the muscles in areas around the knees (thighs, hamstrings, calfs) and maybe reduce running, as that is what tends to damage the cartialage around the knee joints, and cause more problems.