If you're just beginning to feel as if you ought to get up off your fat ass and actually do something that might add a few years to your useless life, you will probably want to begin with walking or running. Anything you do which tries to build up your muscles, like lifting weights, is not aerobic, and really does very little to help you live longer.
In fact, if you see some of these ex-football players and weight lifters in their 40's, you'll see where all that ballyhooed bulk goes when you get tired of messing with the workouts. Yeah, straight down. When you see some of those godawful guts on middle-aged men which seem totally out of proportion to the rest of their bodies, it's probably a guy who used to be a star tackle on his football team, or his generic equivalent.
What was I talking about? Oh, yeah. If you've decided to do some aerobic exercises and you're out of shape, you will probably have a problem with your knees at first. There are a couple of exercises you can do to strengthen your knees. I'll try to describe them, but remember: If these hurt you very badly, quit doing them and go see a Physical Therapist or an Orthopedic MD.
Lie down on your back and do what is called "straight leg lifts." With your leg held straight, lift the leg to about 40° off the ground. Start with 25 on each leg, and work your way up to a hundred over the course of a few days. Also, do them with the leg rotated slightly to the outside so that you work the inside muscles in your legs.
Lie down on your back and put some large pillow under your cottage cheese-looking thigh (just guessing) so that your leg is crooked at about a 45° angle. Then get an ankle weight and put in where it goes. (If you can't figure this out, forget about running. You'll just get hit by a car.) Just do lifts with your thigh and foot. Increase the weight and the repetitions as you go along.