If you hurt during or after exercise, then your body is trying to tell you something. It does your body no good to push it until it breaks down or an injury occurs. Don't expect to experience all the benefits of exercise for about six weeks. As I stated above, it takes time for the body to adjust to the new activity level and make adaptations. Especially don't expect your body fat to drastically and immediately melt away.
Fat cells are very efficient about storing fat, but have to be coaxed into letting it go.
Do pick an activity that you enjoy, and one that is practical and realistic for you. Do try and build activity into your life on a regular basis. You can do this by taking the stairs instead of the elevator, parking a few blocks further away from work or the store, planning active weekend outings, joining a work-out group, marking your workout sessions as business appointments in your calendar, signing up for special events that involve activity, and being active with your children. Do identify activities that are not conducive to activity and make a conscious decision to avoid them or do them when they will not interfere with your exercise plan. For example, if the afternoon football game is always accompanied by chips and beer, try and exercise before the game starts.