i think swimming makes your every muscle work properly, just half a mile every day or something - for a start
running is cool, but you have to find your own rhythm in that - i like to listen to music while doing my laps for example. another good advice would be to find someone to train with - just to keep you interested and properly concentrated
working out in the gym might be depressing with all those hunks and show-offs around. but if you find a fitness club (with a gym) with an extended offer for women, don't hesitate to go to the gym instructor and just ask for a good set of exercises for beginners, he will understand your needs better than average post-military-killing-machine-of-a-coach and will help you find your way.
results come not that fast as you could wish, but after several months you look into your mirror and suddenly… wow, that's me!
good luck