Well, if you are truly, sincerely out of shape, you should probably start with a doctor's appointment and a full check-up. The doc can give you some advice about where to start, and also if there are any problems, it may scare you into starting and keeping up a workout!
If you are in so-so shape, the standard women's magazine advice is to walk more. Park in the farthest lot, walk around the store once before you buy, go to the bathroom on a different floor at work/school rather than the nearest one, take the stairs (if it's too hard, just take the stairs going down) and things like that. If you do four of these quicky things a day, you've got 20 minutes of walking under your belt like magic.
The next thing is to find something you really like. Don't commit to buying DVDs until you find something -- check out flea markets for used ones, or ask your friends to lend you something good. Consider exercise that doesn't seem like exercise -- dancing is great. Housework (scrubbing floors, washing windows, even dusting) is also a better workout than most people think. And great for upper strength!
You are probably stronger than you think -- once you get going, you'll feel very good about this as long as you don't overdo and burnout. Start small, think big!
Good luck!
(BTW, I like Flylady for inspiration. She says to do just 15 minutes of exercise at a time -- it's better than nothing, and may inspire you to do more!)