I recently started exercising again. I joined a ladies only health club and workout 5 days a week. It is very hard and I push myself really hard every day. I have been doing this for 2 weeks so far and have gained 4 pounds. Shouldn't I be losing? I have even used the sauna for 25 minutes once a week to burn extra calories. I don't know what the problem is.
Also, when you start working out, it's important to monitor your calories at the same time if you're trying to lose weight. Beginning a workout will definitely increase your appetite because your body needs fuel for these workouts. It will help alot to keep a food journal anytime you're trying to lose weight. Without that, you may never notice on your own that your appetite has increased because of your activity.
Congrats on beginning your exercise program! It is not uncommon to gain weight at the beginning of an exercise program. If your program involves heavy lifting, you are likely building additional muscle which will gradually replace fat. These "beginner gains" will taper off quickly. Muscle helps your body to burn additional calories. 4 lbs is nothing to be concerned with. Weight can have significant fluctuations day-to-day. It may take a while to notice a change in your weight on the scale, but in 4-6 weeks, you will notice differences in your body composition. The best way to keep track of your fitness is to use measurements. You can drop clothing sizes long before it shows on the scale.
Another comment on the sauna. You're not actually "burning" calories in the sauna. You only lose weight in the sauna through sweating. This is only water weight and does not translate into burned calories. But it is relaxing!
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