It's not unusual to gain a little weight when first starting to exercise. When you begin an exercise program, you begin building muscle, so even though you aren't losing pounds, you might be losing inches. You might want to take your measurements - waist, bust, hips, thighs, arms - you might actually be getting smaller.
You might also want to think about getting your thyroid tested to make sure it's functioning properly since hypothyroidism is a major cause of weight gain.
depending on what you are doing for exercise, you may be building muscle which weighs more than fat. Muscle BURNS fat.. keep it up!
I cannot stress how right Barb is on the measurements.
The scale is often not our friends (particularly women).
I can fluctuate up to 5lbs in 1-3 days and it drives me crazy. Set a weigh-in day like.. monday... tuesday... and weigh yourself each week but don't do more than that.
Take your measurements!! It is SO SO SO satisfying to see THOSE numbers go down even when the scale stays the same (or creeps up on you).
Also, what integrityblue said is correct. Muscle is your friend... however, make sure your strength training (weight lifting) is utilizing low weight and high repetitions... you most likely do not want to bulk up.
When first starting a new exercise regime, as Barb has pointed out, you are likely to gain. I know for me, I retain water sometimes, so the scale goes up. I always weigh, AND take measurements. Sometimes it takes a bit for the scale to catch up to the measurements. So I do both, it helps me from getting discouraged when I see my measurements shrinking even thought the scale is either the same, or has gone up.
Also, what is your diet like?