I have never exercised before. How do I begin?

Congrats! Think of a fun activity that you could do with your friends. Start slowly and build up over time slowly. Exercise actually is a life-style issue that should be sustainable and enjoyable, because the real benefits come with long-term commitment. Small changes in lifestyle, maintained over the long term, can have a huge positive impact on your life.
I agree. You can also consult with a personal trainer who will create a routine for you that is within your skill and ability level. He/she will also ensure you are performing your exercises safely and with proper technique. Best of luck!