Dude, almost 2 years ago I was in about the same situation you're in. I spent a few weeks doing bodyweight exercises before I did any lifting. Just simple stuff -- push ups, sit ups, deep knee bends, etc.
I also did easy cardio like walking up a couple flights of stairs here and there, walking down the street, etc.
Initially I didn't set any goals other than "do something" but after I got over the soreness and started getting more proficient I'd set goals like "today I'm gonna do 2 sets of 20 push ups" or whatever.
So after a few weeks of that I was ready to take the next step and hit the gym, where I got started with weight training. Did I have to do all the BW stuff first? No, probably not. But I think it was a good confidence-builder. I did most of the stuff at home, whenever I felt like it, and I didn't have to worry about looking foolish in front of a bunch of strangers.
Anyway, good luck. Start a training log. And do read the FAQ -- lotta good info there.
