I completely agree with Fiberlover-- Pilates for Dummies is a fantastic way to start! There is a "beginner" level and an advanced level-- the only thing that was kind of woinky about going to the Advanced stuff was that she threw in some new movements without warning you about them in the "Beginner" level-- but if you watch the DVD before you do it (like they say you're supposed to, even though I'm guilty of not!), then it's not that bad
It's surprising how much you're able to do!!! (and how hard the easy stuff looks!)
Have fun!