There are a number of issues that can cause your pain. Being that the pain starts at the lateral side of the knee and radiates to the ankle, it could be secondary to a ligamental injury. A meniscal tear is a common injury occurring in athletes in which does not necessarily produce a popping or tearing sensation and the pain is typical of that injury. Nerve entrapments at the knee may also contribute to the pain. Lastly, microfractures of the tibia (shin splints) can cause leg pain but this typically occurs in anterior aspect of the leg.
For minor injuries, typical treatment requires 4-6 weeks of rest and NSAIDs (such as ibuprofen) before gradually resuming low impact exercises (using an elliptical machine or swimming) while the injury heals – the stress of running or dancing can further exacerbate minor injuries. Typically, patients presenting with your symptoms would be given conservative treatment regimens such as described above. As the source of your problem appears to be at the area of the knee or ankle, a physical exam would be warranted to determine the cause of your problem if it persists or worsens despite conservative treatment. In addition, MRI imaging of your knee and/or ankle joints might be useful to diagnose the problem.