Hi chanks,
Good work on getting started and making this change in your lifestyle. It's a bit hard to say specifically what you should do without knowing what your workout includes, but in general, soreness means your muscles have trained and they are recovering and growing. The soreness is from inflammation from fluid in the muscles as they heal - the fluid takes up space in the muscle. If your muscles are stiff after sitting but the soreness goes away when you stand up (because moving around moves the fluid out), then that's a good sign. It means there's probably no injury, rather you've just started out and you may be doing too much all at once. If this is the case, then the soreness should resolve after a few more weeks. You can try massage in the meantime, and stretching after 5-10 minutes of light cardio such as a bike or walking. In fact, the soreness will probably go away after just the cardio during the session. Make sure to stretch your legs well (quad, hamstring, hips, and calf stretches (a trainer at the Y can show you). You also might want to lighten it up for a week or two, and then start back slower.
If however, the soreness doesn't go away after another week or two, then you are probably overtrained. If so, then you need to take 5-7 days off from your vigorous workout. Ask a trainer at the Y to take a look at what you're doing and modify or replace it entirely with less intense exercises. Other causes for so much soreness related to exercise are dehydration, lack of electrolytes (sodium, potassium, calcium, magnesium), and low thyroid hormone. If you take a break from working out, then when you start again, start a little easier (less intensity and/or fewer exercises) and build up more slowly. If you take a break and the soreness continues, then you should contact your doctor.
As for the knee pain, stretching will help that too if there's nothing wrong with your knees. Overtraining and tight muscles can cause knee pain. But if the knee pain continues then you should have your doctor take a look.
As for weight loss, check out one of the WebMD diet clubs. Weight loss is hard on your own. The support from Community members, and the advice from the WebMD experts, can be very helpful.
Here are the clubs:
http://exchanges.webmd.com/dieting-club-10-25-lbs-exchangehttp://exchanges.webmd.com/dieting-club-25-50-lbs-exchangehttp://exchanges.webmd.com/dieting-club-50-100-lbs-exchangeIt's terrific that you're changing your lifestyle. Don't get discouraged, one way or another the soreness will resolve. If you still have questions please post back and include more detail about what you're doing.
Take care,
Rich