Do I have a transmission problem?

It really sounds as though the transmission is "slipping". the first thing to do is check the fluid. if low top off fluid to proper level with vehicle in park engine at operating temp. notice the color and smell of the fluid if its dark in color or "burt" smelling the clutch disks are worn in the transmission, and need replaced. if red in color and fluid topped off then you might have a mechanical issue within the transmission. if the knocking sound comes from the transmission i wouldnt recommend driving the vehicle. one thing to note: if the trans is slipping you might try Lucas trans stop slip ive seen it work wonders. it might get you by for a while. good luck and keep us posted on the results.