Don't try to punish his knives -- he has too fast recovery from them. I play Kano every once in a while and I like to block after throwing knives every time just in case, because people try to punish it with teleports or their own projectiles all the time, and then I can potentially get a combo off on them.
However, he can't duck+block fast enough to catch you when you can slide under the knives on reaction, or you can just duck (without blocking) and slowly dashblock toward him.
Once you get close, be careful of his upball -- don't jump at him, and don't get close to him when he's on the ground unless you're baiting it (I suggest dashing in then iceclone). Jumping in and ice cloning to catch his upball can work sometimes, but it requires very strict timing and just the right distance. It's not a very safe trick, so I don't recommend it.
Use alot of pokes because he's a fast character, and you want to watch out for his choke.
Sometimes they will try to do the other forward ball move, which is very risky for them if you either block or ice clone. If you can read when he's about to do that move, it becomes alot easier because it's the easiest one to counter. However, a good player probably wouldn't use it against Sub Zero.
Also, if you want to do a ground combo after blocking their upball, you can do an ice puddle -- he'll land in it and get stuck. This should be practiced first to learn the timing, though. Plus of course it scales the damage lower, just like iceball.
and anticipate.. when he throws knives use a teleport attack, when balling you fire projectiles or block it and destroy him 
