Even if you are using 4lb weights and just starting out?
I use weight to do arm curls and lifts while on the treadmill and I do 4 sets of 3 liftings. 1st one minute of arm curls. Next one minute of side straight out lifts and then finally 1 minute of arm overhead straight pull downs.

I do this 4x during my 1 hour treadmill. I don't think it's much but right now it's all I can do. Anyway, all the sites/magazines say to do lifting only every other day, but since I am only using 4lb's (two 2lb weights in one hand)
do I really need to skip a day?

I would classify what you are doing as aerobic weight training, using weights to increase your aerobic workout rather than normal weight training. For your answer, I would say no it isn't necessary to use weights every other day.

When you want to workout solely using weights (no cardio involved) and you are lifting to failure, (Your muscle simply can't do any more after so many reps, usually 15 or below) then you need to rest between days.

This is only my opinion and it may be wrong. What you are doing is basically cardio, not lifting. It should be okay to do that every day. If you find yourself getting sore or overtired, then take a break for a day or two.

The every-other-day rule is for when you are lifting fairly heavy- tearing muscle fibers, then using the off-day to allow them to heal. That's what builds muscle- the tearing and healing of fibers.

Be aware that you are not building muscle in your routine. You are adding to the intensity of the cardio.

Also be careful- your shoulder joints weren't designed to have "heavy hands" waving around while you walk or run. This is how I tore my rotator cuff years ago using 8 pounds weights daily while I did cardio.

Mel

Why am I not building muscle in my arms if I walk while I lift?
If I stop walking and do the exact same thing will that build muscle?

Well actually, I don't really want the muscle as much as the strength building.
My upper body is very weak, but since I have begun doing the weights I have seen an increase strength in my arms, so if I am not building muscle, am I at least adding to the strength?

And I don't "wave them around" I am very controlled in my movements and I slow the treadmill down to do them. I don't just hold them and walk.
And yes, quite often it's lift till I can't physically lift them again. They just won't lift it anymore. Usually the side straight out lift.

Well the way to build strength is to build muscle. You can build muscle without building mass. Building muscle also increases your metabolism.

Form and concentration are important for weight training, both of which I think would be hard to achieve while walking. You might've built a little strength initially from adding the weights, but 2 lb dumbbells won't take you far. We do have some professional personal trainers and I'm not one of them, but if you aren't reaching failure at 15 reps, then you need to increase your weight. Most women starting out can do well with a small set of dumbbells or an adjustable set of dumbbells.

I would highly highly recommend you looking over the stumptuous.com website:

This a good point of reference for starting out with weights:

http://www.stumptuous.com/cms/displaysection.php?sid=2