 Solution

A locally compact Hausdorff space is regular. Cover $K$ by finitely many open sets whose compact closures lie in $U$; their union $V$ satisfies $K\subset V\subset \overline{V}\subset U$, with $\overline{V}$ compact. The compact Hausdorff space $\overline{V}$ is normal, so the Urysohn lemma gives a continuous function $g:\overline{V}\to [0,1]$ equal to $1$ on $K$ and $0$ on $\overline{V}\setminus V$. Extend $g$ by zero outside $\overline{V}$. The boundary values make the extension continuous, and its support is a compact subset of $U$.