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It is generally recommended to start off at the gym with just the treadmill and the lifecycle for the first week or 2. This is to wake the muscles up and to slowly get you prepared for a harder workout.
You will generally want to find a speed on the treadmill that is a pace you can keep up with little discomfort and do it for 20 minutes. After this take a 5 minute break, stretch a little and have a drink of water, then go back and increase the speed just a bit then do another 20.