Nausea is a common side effect of starting a new, intense workout. Make sure you're properly fueled and hydrated. If your knee hurts, you may be putting too great a strain on that joint. How much have you exercised before now? Insanity's pretty intense, and while beginners can do it, it's generally aimed at more experienced exercisers with greater endurance.
It's important that if something hurts, you do NOT push through the pain. When your body hurts, it's telling you something is wrong, and by working through the pain, you can exacerbate an injury and take it from something that just needs a little ice and rest to something that needs surgery to repair!
If this persists, you'll want to check with your doctor to see if there's an injury or something else at play.