I Started Working Out Today (and it was really hard)

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I have always thought of myself as a decently fit person. I am relatively thin and have had the perspective that it didn't matter how much muscle I had (or didn't have), as long as I ate small enough portions to not gain weight. Recently, my lack of activity has been bugging me, and after a couple days of eating very little following holiday over-consumption, I decided to give working out a try.

Because of my previously mentioned belief that I am fit, I decided that I was up to the challenge of a level 4 workout. And I wasn't. Not at all. I went through a couple of different lower level workouts until I found one I was comfortable with and still struggled a lot more than I thought I would. I felt rather incapable, and weak, after having such difficulty.

I am looking for some advice on how to begin, and what to expect in the first couple of weeks (or months). I really want to get into the habit of working out and want to feel healthier, but don't know where to start. Doing so poorly made me feel I almost shouldn't begin in the first place.

Thanks a lot!