
It's not unusual to gain a little weight when first starting to exercise. When you begin an exercise program, you begin building muscle, so even though you aren't losing pounds, you might be losing inches. You might want to take your measurements - waist, bust, hips, thighs, arms - you might actually be getting smaller.
You might also want to think about getting your thyroid tested to make sure it's functioning properly since hypothyroidism is a major cause of weight gain.