What precautions should I take when starting exercising when I am obese?

Exercise. It's great that you are exercising. When you are obese, your joints (ankles, knees, hips, back) are under much more stress so you will want to do low impact exercises (running is bad). Also, water exercises in a pool are also a good idea. Focus on cardiovascular exercises rather than weight lifting.
Start slow. Exercise is difficult when you are obese, but it is one of the best things you can do for yourself. Start with simple exercizes like walking and work your way up. Don't get discouraged of you have some muscle pain.