Here are some pointers:

1. When you start lifting, you are going to feel like CRAP for days afterward. But do not let this discourage you - after the first few workouts this doesn't happen anymore - you're a little tired the next day, maybe, but nothing like the soreness you experience at first. Your body just needs some time to adjust to the new workload. Of course you should learn to distinguish good pain (post-workout soreness) from bad pain (e.g. joint pain, a pull or strain)

2. Make sure to get a good night's sleep after a workout. For me that means a full 8-8.5 hours. I find I need to sleep about an hour more per night while actively lifting than while on an "off" cycle. Your body needs more time to repair. Your mileage may vary.

3. As far as food, protein shakes are excellent (as long as they agree with your gastrointestinal tract), and not expensive when compared to the cost of food. You will find that while you're actively lifting you'll eat a LOT more than you used to. Try to make that extra food mostly chicken, fish, and vegetable protein (e.g. beans) with only a small amount of beef and pork in addition to what you used to eat.

Don't bother with supplements for now. The only one with any scientific evidence for its efficacy (besides the illegal ones) is creatine, which you may want to try later on down the road, but in the beginning, nothing more than good old protein.

4. A full list of exercises can be found at <A HREF="http://www.exrx.net">ExRx</A> - click on "Weight Training."

5. As far as developing a program, I'd follow something like this:

For the first 2-3 weeks, just go in and do what you feel like doing. Stick mostly to machines.

Try to do a full-body workout - the big mistake most people make is not doing any legs. You can see these guys right away - huge triangular upper bodies in tank tops with arms that look like roasting turkeys, but they wear long pants because they're embarassed about their chicken legs.

If you're looking to burn calories and fat, put on lean body mass, and increase your overall strength, you're not going to find any better exercise than a compound lower-body movement like squats or deadlift (or as a poorer substitute, their machine equivalents).

Once you get over the initial soreness, switch to a dedicated lifting program. 1-2 exercises per muscle group

A typical program will look something like this:

3 days per week, with intervening days off (i.e. MWF or similar)

Day 1: "Pushing" exercises (mostly chest, triceps)

<A HREF="http://www.exrx.net/WeightExercises/PectoralSternal/BBBenchPress.html">Bench Press</A>, <A HREF="http://www.exrx.net/WeightExercises/PectoralSternal/LVSeatedFly.html">flyes</A> or <A HREF="http://www.exrx.net/WeightExercises/PectoralSternal/CBStandingFly.html">cable</A> crossover,<A HREF="http://www.exrx.net/WeightExercises/Triceps/CBPushdown.html"> tricep pressdown</A>, <A HREF="http://www.exrx.net/WeightExercises/Triceps/BBLyingTriExtSC.html">"skull crushers"</A>

For bench press it's absolutely best to work with a spotter. I'm not crazy about the <A HREF="http://www.exrx.net/WeightExercises/PectoralSternal/LVChestPress.html">machines</A> but that's an alternative.

Day 2: "Pulling" exercises (mostly back, biceps)

<A HREF="http://www.exrx.net/WeightExercises/BackGeneral/LVSeatedRow.html">Weighted row</A>, <A HREF="http://www.exrx.net/WeightExercises/LatissimusDorsi/CBFrontPulldown.html">lat pulldown</A>, bicep curls with <A HREF="http://www.exrx.net/WeightExercises/Biceps/DBCurl.html">dumbbell</A> and/or <A HREF="http://www.exrx.net/WeightExercises/Biceps/BBCurl.html">barbell</A>

WIth back exercises it's most important to get the full range of motion - full extension, and full contraction. That means you don't max out the weight, but back off a little bit since the motion gets more difficult as contraction increases, so with more weight you simply perform less range of motion.

Day 3: Legs and abs

<A HREF="http://www.exrx.net/WeightExercises/Quadriceps/BBSquat.html">Squat</A> (or <A HREF="http://www.exrx.net/WeightExercises/Quadriceps/LV45LegPress.html">leg press</A>), <A HREF="http://www.exrx.net/WeightExercises/Hamstrings/LVLyingLegCurl.html">leg curl</A>, <A HREF="http://www.exrx.net/WeightExercises/Gastrocnemius/LVStandingCalfRaise.html">standing calf press</A>, <A HREF="http://www.exrx.net/Lists/ExList/WaistWt.html">ab exercise of choice</A>.

In the beginning I'd stick with leg press. Squats should only be done in a cage (the big tall metal things you usually see guys doing bicep curls in, if they're being used at all), and only if you know what you're doing.

I personally avoid the <A HREF="http://www.exrx.net/WeightExercises/Quadriceps/LVLegExtension.html">leg extension</A>, because it puts a lot of stress on the knee and I have an old injury. Besides, leg press/squat is a much better mass builder.

That said, every once in a while (every few months) mix up your workouts - change which body parts you do with which, change at least some of the exercises you do, to "shock" the body into further development.

A basic way to do exercises is this:

First, a general warmup - 5-10 mins on bike, stretching, etc.

For each muscle group, do one warmup set (light weight), 10-12 reps.

Then 2 "working sets" - the most weight you can do with good form for approximately 8 (plus or minus 2) reps, without being able to do any more reps (this is called "working to failure" although you don't actually fail, just feel that you couldn't do another rep if you tried).

After that, perhaps one additional set or a "cool down" set depending on how you feel.

At the end of the workout, a short "cool down" phase.

That usually works pretty well - a total of 3-4 sets per exercise (2-3 "working sets" to failure, 1-2 exercises per muscle group.

This plan should get you through the first couple of months. The ExRx site has many times the amount of information I gave here.