I have a pain in the quads (both) and it hurts all the time. It's not a muscular pain. What can I do?

Talk to your doctor. You should discuss this symptom with your doctor and see if he or she recommends any studies. The pain can be do to many possibilities including deep bone pains, muscle spasms, neuropathies, tendon sprains/strains, claudication.. Your doctor will know what to do. Keep a little diary of when the pain happens, how it is relieved, how long it lasts, and when it began.
Quad pain. Quad pain can be due to a multitude of reasons: overuse in the gym with an imbalance of hamstring and quad lifts; referred pain from the lower back that may need to be analyzed; evaluation of the hips to ensure that there is no arthritis. At the very least an orthopedist should evaluate you and perform x rays of your femurs and hips.