Read more about this in the Smart Girls Do Dumbbells book.

Lifting weights can be done at a gym or at home. I’d recommend the Bowflex Adjustable Dumbbells as a good starter set of weights.
This set is awesome because its an adjustable set instead of having a huge set of many many dumbbells you just add on weight to the one set you have. It is compact and even comes with a stand. You can do bicep curls, tricep kickbacks, flys, bench presses… you name it, and you can do it with dumbbells. The cool thing about dumbbells is they take up very little space yet they get the job done. If you’re not into adjustable weights, this Dumbbell Set would also be very great for your fitness needs.
You can also lift weights at your local gym. The cool thing about gym membership is you can ask for assistance from trainers and get tips and learn how to use weights properly.

Either way, I wish you success, its one of the best choices you can make for your body.