Start out walking whatever you can. Four years ago I was so out of shape that a stroll around the block had me winded.
Now, I walk over four miles/hour. Forced march kind of walk. I don't jog, that's hard on the joints. Dropped from 260 to 205 pounds. I'm 5'10" so still overweight but have hit my second wall (first was at 225). I'll lose it, eventually.
Next is a backpack. I'll start with 10 pounds and work it up until I'm doing 4 mph with 50-60.