"But certainly I didn't know he was doing anything that was criminal"

Kenneth Lay's quote suggests that he was unaware of any criminal activity that was taking place. This might imply that he was uninformed of any illegal activities that were taking place within the business he was leading, Enron. It could likewise imply that he was unaware of any criminal activities that were being performed by his associates or other individuals connected with the business. This could be analyzed as Lay not understanding any misbehavior or prohibited activities that were occurring, or it might be translated as Lay not wanting to acknowledge any criminal activity that was taking place. Either way, the quote suggests that Lay was not familiar with any criminal activity that was occurring.