Recently I started to work out and now I got a swelling in the elbow, what should I do?

RICE. Being with rice, and avoid the activities that exacerbate the swelling. If this and a gradual return to activity does not alleviate the symptoms, see an orthopedist for evaluation.
Get evaluated. Swelling after a workout could indicate a joint problem. If simple icing and rest does not work to alleviate the problem, then an evaluation by an orthopedist including an xray should be performed.