If you are not used to exercising, start out with ten to fifteen minutes twice a week and build up from there. Your gym should offer this one-time service free of charge to newcomers. But this doesn't mean that you can't ask for guidance down the line, too. Last, but not least, make your workout sessions regular and real. Schedule them in your calendar, just as you would record business appointments, classes, and social engagements.
Exercise is just as important.
By the way, your exercise options are wide open, and you don't have to join a gym to partake. In addition to exercise, try to take breaks from your high-stress job. Walk around outside, take lunch, or sit in the bathroom for a few minutes if that's the only way to get away. Just a few breathers during a hectic day can go a long way toward stress relief.