For me, I like to drink protein shakes, while at the same time burning calories. What I would do is stay away from weights. If you are trying to lose weight, start by doing conditioning. It sucks, it really does. But after you do it, you'll feel plenty better. Second, I would definitely focus on diet. You cant lose weight without changing your diet. Third, I would work on Core and Chest. Your torso and up is where most of the weight is. Goodluck!