Exercise burns cals, yes. Try not to rely on calorie counters on gym equipment, they are often incorrect. Shape magazine (online) has a decent calorie calculator (google "shape magazine calorie burn" and it should come up). For example, walking 2mph for 30 minutes is about 100 calories for your weight. Bump it up to 3mph and it's 150 cals.
...it's gonna be a very long walk if you try to burn off that whole caramel bar.