Bump just below my knee causing pain the area is swollen and red with a yellow centre which looks pus filled. I tried squeezing and nothing came out.

Skin infection. The signs of redness and swelling with pus are indicative of infection. It would be important to get proper treatment for that -so you should show it to a doctor or take photos and ask a Health Tap doc. If it is extensive, you might need antibiotics. It would be important to determine if any other structures are involved like the bursa over the knee area. Local therapy such as bacitracin may help.