No matter what condition you're in, you can get in better shape without it hurting. If you're starting from absolute zero, you're overweight, you're sedentary, and you haven't worked out in years, expect to start slowly. Exercise does not have to be hard in order for it to be beneficial. Start by working out 2 days a week for 20 to 30 minutes. Use light dumbbells, such as 2lbs, for your weight training. Even though the weight may feel light, start with those. It will keep you from getting too sore and feeling too tired the first couple of times. After the first week, increase the weight to 3lbs. Stick with this for another week or two. Then increase it to 4 or 5 lb dumbbells.
For your cardio, start by walking at a comfortable pace on a treadmill or outside for 10 minutes. Then each week increase your time by 5 minutes. Keep your pace comfortable. You should be able to work your way up to 20 minutes in 2 to 3 weeks.
The secret to exercise is to not make it so hard that you don't enjoy it. It takes time to get your body in shape. Each time you work out you will feel a little bit stronger and have more stamina.