Where is the pain?
Your position might be off.
Where to start.
The shoes - feet - central axis of the bike, vargus/valgus, position over pedals. This sets the line of force for the knees, ankles, and hips.
Next, seat up, down, fore aft.
Bars. height, fore aft.
Back off and go easy. Might want to get some shoes with the SPD cleats to keep the foot in a better position. Research bike position. I will be honest, most spinning instructors don't have enough experience fitting you to the bike.
A video front back side and a trained fitter can tell you where to look.
Adjustments are not real fine on the spinning bikes. Allow yourself time to adapt and don't get down on yourself. Get in the gym and practice your form.
Check out this link. I bring a Goniometer to class and if the knee is much larger than 35 degrees it seat way too low. You can adjust height, fore aft. A lower saddle can cause knee pain. Don't go to high or you will rock. www.youtube.com/watch?v=N_1M4HUKc6Q
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